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~institution:"C.E.P.R. Discussion Papers"
~institution:"School of Economics and Management, University of Aarhus"
~institution:"Tinbergen Institute"
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stochastic volatility
44
volatility
39
Volatility
32
realized volatility
22
Stochastic volatility
18
GARCH
12
Stochastic Volatility
12
Realized volatility
11
high-frequency data
10
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10
jumps
10
long memory
9
Forecasting
8
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7
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6
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6
exchange rate volatility
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exchange rates
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option pricing
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uncertainty
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variance risk premium
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volatility forecasting
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Bipower Variation
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Exchange Rate Volatility
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167
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232
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85
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Andersen, Torben G.
16
Bollerslev, Tim
16
Koopman, Siem Jan
15
Christoffersen, Peter
14
Bos, Charles S.
10
Christensen, Bent Jesper
8
Lunde, Asger
8
Nielsen, Morten Ørregaard
8
Jacobs, Kris
7
Magistris, Paolo Santucci de
7
Veraart, Almut E. D.
7
Bondarenko, Oleg
6
Fernández-Villaverde, Jesús
6
Podolskij, Mark
6
Rubio-Ramírez, Juan Francisco
6
Teräsvirta, Timo
6
Todorov, Viktor
6
Voev, Valeri
6
Dijk, Dick van
5
Rossi, Eduardo
5
Sarno, Lucio
5
Tauchen, George
5
Acharya, Viral V
4
Artis, Michael J
4
Bekaert, Geert
4
Christiansen, Charlotte
4
Guerron-Quintana, Pablo A.
4
Hounyo, Ulrich
4
Kristensen, Dennis
4
Lettau, Martin
4
Ooms, Marius
4
Rose, Andrew K
4
Schmeling, Maik
4
Schrimpf, Andreas
4
Barndorff-Nielsen, Ole E.
3
Cavaliere, Giuseppe
3
Della Corte, Pasquale
3
Diebold, Francis X.
3
Fatás, Antonio
3
Hardouvelis, Gikas A
3
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C.E.P.R. Discussion Papers
School of Economics and Management, University of Aarhus
Tinbergen Institute
National Bureau of Economic Research
703
International Monetary Fund (IMF)
545
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
448
International Monetary Fund
217
Economics Research, World Bank Group
195
HAL
91
EconWPA
83
Université Paris-Dauphine (Paris IX)
79
Tinbergen Instituut
69
Society for Computational Economics - SCE
58
CESifo
56
European Central Bank
54
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
54
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
53
World Bank
53
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
52
Agricultural and Applied Economics Association - AAEA
45
Department of Economics and Finance, College of Business and Economics
44
Econometric Society
44
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
44
Department of Economics, Oxford University
42
Finance Discipline Group, Business School
39
Institute of Economic Research, Kyoto University
34
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
34
Center for Financial Studies
33
Erasmus University Rotterdam, Econometric Institute
33
European Association of Agricultural Economists - EAAE
31
London School of Economics (LSE)
31
OECD
31
Institut für Weltwirtschaft (IfW)
30
Department of Econometrics and Business Statistics, Monash Business School
29
Economics Group, Nuffield College, University of Oxford
28
Forschungsinstitut zur Zukunft der Arbeit
28
Henley Business School, University of Reading
27
National Centre for Econometric Research (NCER)
27
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
26
Institut de Préparation à l'Administration et à la Gestion (IPAG)
26
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CEPR Discussion Papers
150
CREATES Research Papers
128
Tinbergen Institute Discussion Papers
36
Economics Working Papers / School of Economics and Management, University of Aarhus
3
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RePEc
317
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81
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
Amaya, Diego
;
Christoffersen, Peter
;
Jacobs, Kris
; …
-
School of Economics and Management, University of Aarhus
-
2011
kurtosis and next week?s stock returns. We do not ?nd a strong relationship between realized
volatility
and stock returns. A …
Persistent link: https://www.econbiz.de/10009385751
Saved in:
82
Forecasting with Option Implied Information
Christoffersen, Peter
;
Jacobs, Kris
;
Chang, Bo Young
-
School of Economics and Management, University of Aarhus
-
2011
volatility
, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
Saved in:
83
Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel
;
Koopman, Siem Jan
;
Lucas, André
-
Tinbergen Institute
-
2011
We develop a new simultaneous time series model for
volatility
and dependence with long memory (fractionally integrated …
volatility
and dependence measures. The forecast accuracy is overall higher compared to those from some well-known competing …
Persistent link: https://www.econbiz.de/10009386532
Saved in:
84
Forecasting
Volatility
with Copula-Based Time Series Models
Sokolinskiy, Oleg
;
Dijk, Dick van
-
Tinbergen Institute
-
2011
This paper develops a novel approach to modeling and forecasting realized
volatility
(RV) measures based on copula … functions. Copula-based time series models can capture relevant characteristics of
volatility
such as nonlinear dynamics and … long-memory type behavior in a flexible yet parsimonious way. In an empirical application to daily
volatility
for S&P500 …
Persistent link: https://www.econbiz.de/10009293998
Saved in:
85
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
Stentoft, Lars
-
School of Economics and Management, University of Aarhus
-
2011
This paper considers discrete time GARCH and continuous time SV models and uses these for American option pricing. We first of all show that with a particular choice of framework the parameters of the SV models can be estimated using simple maximum likelihood techniques. Hence the two types of...
Persistent link: https://www.econbiz.de/10009320846
Saved in:
86
The Analysis of Stochastic
Volatility
in the Presence of Daily Realised Measures
Koopman, Siem Jan
;
Scharth, Marcel
-
Tinbergen Institute
-
2011
variance, at least due to Jensen's inequality. We incorporate filtering methods for the estimation of the latent log
volatility
…
volatility
model contains non-Gaussian return innovations and leverage effects. The empirical results reveal that measurement …
Persistent link: https://www.econbiz.de/10009322509
Saved in:
87
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.
;
Fusari, Nicola
;
Todorov, Viktor
-
School of Economics and Management, University of Aarhus
-
2011
the spot
volatility
extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model t for specific regions of the
volatility
surface and for the … index options we extend the popular double-jump stochastic
volatility
model to allow for time-varying risk premia of extreme …
Persistent link: https://www.econbiz.de/10010851195
Saved in:
88
VPIN and the Flash Crash
Andersen, Torben G.
;
Bondarenko, Oleg
-
School of Economics and Management, University of Aarhus
-
2011
VPIN a good forecaster of short-term
volatility
. In contrast, we find that VPIN is a poor
volatility
predictor, that it …
Persistent link: https://www.econbiz.de/10009644870
Saved in:
89
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo
-
School of Economics and Management, University of Aarhus
-
2011
, linearity testing and parameter estimation are discussed. Forecasting
volatility
with nonlinear models is considered. Finally …
Persistent link: https://www.econbiz.de/10008784443
Saved in:
90
Forecasting Covariance Matrices: A Mixed Frequency Approach
Halbleib, Roxana
;
Voev, Valeri
-
School of Economics and Management, University of Aarhus
-
2011
This paper proposes a new method for forecasting covariance matrices of financial returns. The model mixes
volatility
… applied to covariance matrices of large dimensions. The separate modeling of
volatility
and correlation forecasts considerably … empirical results show that the new mixing approach provides superior forecasts compared to multivariate
volatility
…
Persistent link: https://www.econbiz.de/10008802540
Saved in:
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