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isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Volatility"
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Search: subject_exact:"Volatility"
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Volatility
Volatilität
788
Theorie
286
Theory
286
USA
198
United States
198
Estimation
183
Schätzung
183
Börsenkurs
182
Share price
182
Capital income
134
Kapitaleinkommen
134
Estimation theory
122
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122
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114
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114
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109
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109
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74
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74
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68
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67
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64
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64
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60
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58
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58
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56
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56
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56
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56
CAPM
50
Option pricing theory
48
Optionspreistheorie
48
Market microstructure
44
Marktmikrostruktur
44
Schock
44
Shock
44
Nichtparametrisches Verfahren
43
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468
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319
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466
Working Paper
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Non-commercial literature
416
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787
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Bollerslev, Tim
28
Andersen, Torben
27
Aït-Sahalia, Yacine
19
Todorov, Viktor
19
Aizenman, Joshua
16
Tauchen, George Eugene
16
Diebold, Francis X.
14
Bekaert, Geert
12
McAleer, Michael
9
Engle, Robert F.
8
Ghysels, Eric
8
Meddahi, Nour
8
Mykland, Per A.
8
Schwert, George William
8
Xiu, Dacheng
8
Edwards, Sebastian
7
Li, Jia
7
Patton, Andrew J.
7
Bansal, Ravi
6
Caballero, Ricardo J.
6
Calvet, Laurent E.
6
Campbell, John Y.
6
Cavaliere, Giuseppe
6
Davis, Steven J.
6
Fernández-Villaverde, Jesús
6
Gallant, A. Ronald
6
Itō, Takatoshi
6
Kim, Donggyu
6
Li, Yingying
6
Rose, Andrew
6
Rubio-Ramírez, Juan Francisco
6
Shephard, Neil G.
6
Ang, Andrew
5
Asai, Manabu
5
Bloom, Nicholas
5
Engel, Charles
5
Fisher, Adlai
5
Giglio, Stefano
5
Gouriéroux, Christian
5
Guerrón-Quintana, Pablo A.
5
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
Energy economics
598
Finance research letters
514
NBER working paper series
482
NBER Working Paper
416
International review of financial analysis
398
Applied economics
376
Journal of banking & finance
375
The journal of futures markets
344
International review of economics & finance : IREF
343
Economic modelling
339
The North American journal of economics and finance : a journal of financial economics studies
324
Applied financial economics
265
Journal of empirical finance
261
Applied economics letters
257
Research in international business and finance
255
Economics letters
246
International journal of theoretical and applied finance
245
Working paper
244
Discussion paper / Centre for Economic Policy Research
238
Journal of international financial markets, institutions & money
236
Journal of international money and finance
222
Discussion paper / Tinbergen Institute
198
Journal of risk and financial management : JRFM
197
Quantitative finance
185
Journal of financial economics
184
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
CESifo working papers
169
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
161
The European journal of finance
153
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
148
Journal of economic dynamics & control
146
International journal of forecasting
140
International journal of finance & economics : IJFE
139
Journal of forecasting
131
The review of financial studies
125
Research paper series / Swiss Finance Institute
118
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ECONIS (ZBW)
787
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787
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
3
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
4
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:
5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
6
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
7
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
8
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
9
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
10
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
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