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isPartOf:"Journal of econometrics"
~subject:"Nonparametric statistics"
~subject:"Statistische Verteilung"
~subject:"Stochastic volatility"
~type_genre:"Article in journal"
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Search: subject_exact:"Volatility"
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Nonparametric statistics
Statistische Verteilung
Stochastic volatility
Volatility
320
Volatilität
320
Theorie
124
Theory
124
Estimation theory
116
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
Estimation
102
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102
Time series analysis
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70
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Option pricing theory
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26
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Todorov, Viktor
11
Tauchen, George Eugene
7
Li, Jia
5
Andersen, Torben
4
McAleer, Michael
4
Bollerslev, Tim
3
Chang, Chia-Lin
3
Christensen, Kim
3
Li, Yingying
3
Maheu, John M.
3
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Calvet, Laurent E.
2
Carriero, Andrea
2
Chan, Joshua
2
Clark, Todd E.
2
Corradi, Valentina
2
Dalderop, Jeroen
2
Fisher, Adlai
2
Forbes, Catherine Scipione
2
Fusari, Nicola
2
Jensen, Mark J.
2
Ling, Shiqing
2
Maneesoonthorn, Worapree
2
Marcellino, Massimiliano
2
Martin, Gael M.
2
Meddahi, Nour
2
Paolella, Marc S.
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Park, Joon Y.
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Podolskij, Mark
2
Polak, Pawel
2
Renault, Eric
2
Renò, Roberto
2
Swanson, Norman R.
2
Thyrsgaard, Martin
2
Tong, Howell
2
Varneskov, Rasmus Tangsgaard
2
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2
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Journal of econometrics
Quantitative finance
42
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
International journal of theoretical and applied finance
33
Economic modelling
32
Energy economics
29
Finance research letters
28
Journal of economic dynamics & control
27
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of banking & finance
26
Economics letters
25
International journal of forecasting
25
Computational economics
21
Journal of empirical finance
21
International review of financial analysis
19
Econometric reviews
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
14
Journal of financial economics
14
Journal of risk and financial management : JRFM
14
European journal of operational research : EJOR
13
Annals of finance
12
Finance and stochastics
12
Insurance / Mathematics & economics
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International review of economics & finance : IREF
12
Review of derivatives research
12
Econometrics : open access journal
10
Review of quantitative finance and accounting
10
The journal of futures markets
10
Applied economics
9
Asia-Pacific journal of financial studies
9
International journal of financial engineering
9
The European journal of finance
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Journal of forecasting
8
Journal of international financial markets, institutions & money
8
Journal of mathematical finance
8
Asia-Pacific financial markets
7
Econometric theory
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
93
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93
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1
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:
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
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
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:
5
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:
6
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:
7
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
Saved in:
8
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:
9
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
10
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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