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isPartOf:"Journal of econometrics"
~subject:"Estimation theory"
~subject:"Forecasting model"
~subject:"Option pricing theory"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Volatility"
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Estimation theory
Forecasting model
Option pricing theory
Statistische Verteilung
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
Estimation
102
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102
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100
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70
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Market microstructure
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Nonparametric statistics
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Optionspreistheorie
39
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34
Stochastic volatility
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196
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Todorov, Viktor
13
Bollerslev, Tim
10
Tauchen, George Eugene
10
Andersen, Torben
8
Li, Jia
7
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Patton, Andrew J.
6
Ghysels, Eric
5
Kim, Donggyu
5
Li, Yingying
5
Francq, Christian
4
Gallant, A. Ronald
4
Gouriéroux, Christian
4
Meddahi, Nour
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
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3
Hallin, Marc
3
Jasiak, Joann
3
Park, Joon Y.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zhou, Hao
3
Zhu, Ke
3
Amengual, Dante
2
Andreou, Elena
2
Bandi, Federico M.
2
Bondarenko, Oleg
2
Calvet, Laurent E.
2
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2
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2
Clark, Todd E.
2
Clinet, Simon
2
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2
Corsi, Fulvio
2
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2
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2
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Journal of econometrics
International journal of theoretical and applied finance
168
Finance research letters
143
Energy economics
133
Quantitative finance
128
International journal of forecasting
123
Journal of banking & finance
121
Journal of forecasting
117
The journal of futures markets
103
The North American journal of economics and finance : a journal of financial economics studies
99
International review of financial analysis
94
Economic modelling
91
Journal of empirical finance
88
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
International review of economics & finance : IREF
80
Applied economics
78
Applied mathematical finance
74
Discussion paper / Tinbergen Institute
70
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
63
Computational economics
58
Journal of risk and financial management : JRFM
54
Journal of financial economics
53
The European journal of finance
53
Journal of economic dynamics & control
52
Economics letters
51
International journal of financial engineering
51
Journal of financial econometrics : official journal of the Society for Financial Econometrics
51
Review of derivatives research
51
Journal of mathematical finance
50
Working paper
50
European journal of operational research : EJOR
49
The journal of derivatives : the official publication of the International Association of Financial Engineers
49
Risks : open access journal
48
Applied economics letters
47
CREATES research paper
44
Finance and stochastics
44
Journal of financial econometrics
44
Applied financial economics
43
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
196
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10
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196
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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
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:
3
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:
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
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:
8
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:
9
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
10
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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