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isPartOf:"Journal of econometrics"
~language:"eng"
~subject:"Schätztheorie"
~subject:"Stochastischer Prozess"
~subject:"USA"
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Search: subject_exact:"Volatility"
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Schätztheorie
Stochastischer Prozess
USA
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Estimation theory
116
Stochastic process
104
Estimation
102
Schätzung
102
Time series analysis
100
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Nonparametric statistics
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Option pricing theory
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Optionspreistheorie
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Statistical distribution
34
Statistische Verteilung
34
Stochastic volatility
34
Noise Trading
26
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26
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25
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Todorov, Viktor
14
Tauchen, George Eugene
10
Bollerslev, Tim
9
Andersen, Torben
7
Li, Jia
6
McAleer, Michael
6
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Li, Yingying
5
Xiu, Dacheng
5
Asai, Manabu
4
Francq, Christian
4
Gallant, A. Ronald
4
Meddahi, Nour
4
Mykland, Per A.
4
Shephard, Neil G.
4
Zakoïan, Jean-Michel
4
Boswijk, Herman Peter
3
Carriero, Andrea
3
Clark, Todd E.
3
Engle, Robert F.
3
Ghysels, Eric
3
Maheu, John M.
3
Marcellino, Massimiliano
3
Park, Joon Y.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Yu, Jun
3
Zhang, Lan
3
Zhou, Hao
3
Amengual, Dante
2
Bandi, Federico M.
2
Bondarenko, Oleg
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Clinet, Simon
2
Corradi, Valentina
2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
183
The journal of futures markets
152
International journal of theoretical and applied finance
151
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
103
Journal of banking & finance
101
Quantitative finance
95
Discussion paper / Tinbergen Institute
88
The review of financial studies
85
Journal of empirical finance
78
The North American journal of economics and finance : a journal of financial economics studies
78
Energy economics
76
Finance research letters
73
Economics letters
72
Discussion paper / Centre for Economic Policy Research
71
Working paper
71
Econometric reviews
66
Applied financial economics
64
Applied mathematical finance
64
The journal of finance : the journal of the American Finance Association
63
Economic modelling
61
Applied economics
57
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
56
Mathematical finance : an international journal of mathematics, statistics and financial theory
55
Journal of economic dynamics & control
54
Journal of financial econometrics : official journal of the Society for Financial Econometrics
54
The journal of computational finance
53
Finance and stochastics
52
Journal of financial economics
50
Computational economics
49
Journal of financial and quantitative analysis : JFQA
49
International review of financial analysis
48
Journal of risk and financial management : JRFM
48
International review of economics & finance : IREF
44
Journal of mathematical finance
42
NBER working paper series
42
Research paper series / Swiss Finance Institute
41
CREATES research paper
40
European journal of operational research : EJOR
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
197
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197
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
9
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:
10
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
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