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isPartOf:"Journal of econometrics"
~isPartOf:"Review of derivatives research"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~source:"econis"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
495
Volatilität
495
Theorie
193
Theory
193
Estimation
153
Schätzung
153
Stochastic process
151
Time series analysis
136
Zeitreihenanalyse
136
Estimation theory
134
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134
ARCH model
117
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95
Optionspreistheorie
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Börsenkurs
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Prognoseverfahren
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Nichtparametrisches Verfahren
48
Nonparametric statistics
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Statistical distribution
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Statistische Verteilung
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Market microstructure
42
Marktmikrostruktur
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Stochastic volatility
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USA
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United States
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Option trading
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Optionsgeschäft
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Derivat
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Derivative
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151
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Todorov, Viktor
11
Tauchen, George Eugene
8
McAleer, Michael
5
Asai, Manabu
4
Bollerslev, Tim
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Jensen, Mark J.
3
Li, Jia
3
Marcellino, Massimiliano
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Escobar, Marcos
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Kim, Donggyu
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Kim, Young Shin
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Maheu, John M.
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Nakajima, Jouchi
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Park, Joon Y.
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Renault, Eric
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Renò, Roberto
2
Swanson, Norman R.
2
Varneskov, Rasmus Tangsgaard
2
Wang, Bin
2
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Journal of econometrics
Review of derivatives research
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of theoretical and applied finance
135
Quantitative finance
84
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
The journal of computational finance
49
Finance and stochastics
47
Computational economics
46
Journal of economic dynamics & control
46
Econometric reviews
44
Journal of mathematical finance
38
European journal of operational research : EJOR
37
Working paper
36
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Finance research letters
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
30
Journal of empirical finance
29
Research paper series / Swiss Finance Institute
29
The journal of futures markets
29
Energy economics
28
Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Journal of risk and financial management : JRFM
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
20
Economic modelling
20
Journal of financial economics
18
NBER working paper series
18
Econometrics : open access journal
17
The European journal of finance
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ECONIS (ZBW)
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1
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
2
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
3
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
4
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
5
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
8
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
9
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
Saved in:
10
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
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