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isPartOf:"Journal of econometrics"
~subject:"Forecasting model"
~subject:"Share price"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Forecasting model
Share price
Zeitreihenanalyse
Volatility
320
Volatilität
320
Theorie
124
Theory
124
Estimation theory
116
Schätztheorie
116
Stochastic process
104
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100
Capital income
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Market microstructure
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Nichtparametrisches Verfahren
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Option pricing theory
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Optionspreistheorie
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Aufsatz in Zeitschrift
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157
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157
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Tauchen, George Eugene
10
Bollerslev, Tim
9
Todorov, Viktor
9
Andersen, Torben
6
Li, Jia
6
Patton, Andrew J.
6
Kim, Donggyu
5
Li, Yingying
5
McAleer, Michael
5
Aït-Sahalia, Yacine
4
Francq, Christian
4
Ghysels, Eric
4
Hallin, Marc
4
Xiu, Dacheng
4
Zakoïan, Jean-Michel
4
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Christensen, Kim
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Meddahi, Nour
3
Mykland, Per A.
3
Quaedvlieg, Rogier
3
Taylor, Robert
3
Wang, Yazhen
3
Zhou, Hao
3
Asai, Manabu
2
Bibinger, Markus
2
Carriero, Andrea
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Chang, Chia-Lin
2
Clark, Todd E.
2
Clinet, Simon
2
Corsi, Fulvio
2
Diebold, Francis X.
2
Ergemen, Yunus Emre
2
Forbes, Catherine Scipione
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
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Journal of econometrics
Finance research letters
272
Energy economics
247
International review of financial analysis
189
The North American journal of economics and finance : a journal of financial economics studies
164
International review of economics & finance : IREF
159
Economic modelling
158
Applied economics
148
Journal of banking & finance
148
Journal of empirical finance
138
International journal of forecasting
125
Journal of forecasting
121
Applied economics letters
113
Research in international business and finance
109
Journal of international financial markets, institutions & money
102
Applied financial economics
98
The journal of futures markets
98
Journal of risk and financial management : JRFM
96
Journal of financial economics
92
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
86
Economics letters
82
Pacific-Basin finance journal
82
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
72
International Journal of Energy Economics and Policy : IJEEP
69
Quantitative finance
67
The European journal of finance
66
International journal of finance & economics : IJFE
59
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
53
Journal of financial econometrics
51
Journal of financial econometrics : official journal of the Society for Financial Econometrics
51
Cogent economics & finance
50
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
50
Econometric reviews
48
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
Journal of financial markets
48
Journal of international money and finance
48
Finance India : the quarterly journal of Indian Institute of Finance
46
Emerging markets, finance and trade : EMFT
45
Journal of financial and quantitative analysis : JFQA
45
Review of quantitative finance and accounting
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ECONIS (ZBW)
157
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157
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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
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:
3
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:
4
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:
5
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:
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
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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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