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isPartOf:"Journal of econometrics"
~isPartOf:"The journal of computational finance"
~language:"eng"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
401
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401
Stochastic process
154
Theorie
139
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139
Estimation theory
117
Schätztheorie
117
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107
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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.
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Le Floc'h, Fabien
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Li, Jia
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Marcellino, Massimiliano
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Shephard, Neil G.
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Xiu, Dacheng
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Yu, Jun
3
Amengual, Dante
2
Andersen, Leif B. G.
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Boswijk, Herman Peter
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Chan, Joshua
2
Chang, Chia-Lin
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Chib, Siddhartha
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Dufour, Jean-Marie
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Francq, Christian
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Gallant, A. Ronald
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Journal of econometrics
The journal of computational finance
International journal of theoretical and applied finance
135
Quantitative finance
89
Applied mathematical finance
63
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Discussion paper / Tinbergen Institute
56
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
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Finance and stochastics
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Journal of economic dynamics & control
47
Econometric reviews
44
European journal of operational research : EJOR
39
Finance research letters
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International journal of financial engineering
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The journal of futures markets
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Journal of empirical finance
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Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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Review of derivatives research
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Journal of risk and financial management : JRFM
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
154
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1
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10
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154
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Robust product Markovian quantization
Rudd, Ralph
;
McWalter, Thomas A.
;
Kienitz, Jörg
; …
- In:
The journal of computational finance
25
(
2022
)
4
,
pp. 55-78
Persistent link: https://www.econbiz.de/10014546287
Saved in:
7
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
8
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
9
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
10
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
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