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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~language:"eng"
~subject:"Volatility"
~type_genre:"Article in journal"
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Volatility
Theorie
1,742
Theory
1,742
Estimation theory
1,674
Schätztheorie
1,674
Time series analysis
721
Zeitreihenanalyse
721
Nichtparametrisches Verfahren
568
Nonparametric statistics
568
Estimation
541
Schätzung
536
Regression analysis
470
Regressionsanalyse
470
Volatilität
430
Statistical test
341
Statistischer Test
341
Forecasting model
339
Prognoseverfahren
339
Panel
311
Panel study
311
Stochastic process
264
Stochastischer Prozess
264
USA
245
United States
245
ARCH model
211
ARCH-Modell
211
Method of moments
211
Momentenmethode
210
Capital income
203
Kapitaleinkommen
203
Bayes-Statistik
200
Bayesian inference
200
Statistical distribution
188
Statistische Verteilung
188
Bootstrap approach
186
Bootstrap-Verfahren
186
Cointegration
168
Kointegration
167
Börsenkurs
160
Share price
160
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Undetermined
188
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Article
427
Book / Working Paper
3
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Article in journal
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430
Collection of articles of several authors
3
Sammelwerk
3
Conference proceedings
1
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1
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English
Author
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Bollerslev, Tim
20
Tauchen, George Eugene
17
Todorov, Viktor
17
Andersen, Torben
12
Aït-Sahalia, Yacine
11
Ghysels, Eric
10
McAleer, Michael
10
Meddahi, Nour
9
Mykland, Per A.
8
Shephard, Neil G.
8
Xiu, Dacheng
8
Li, Jia
7
Patton, Andrew J.
7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Li, Yingying
6
Maheu, John M.
6
Engle, Robert F.
5
Francq, Christian
5
Gallant, A. Ronald
5
Hallin, Marc
5
Koopman, Siem Jan
5
Linton, Oliver
5
Renault, Eric
5
Renò, Roberto
5
Taylor, Robert
5
Zakoïan, Jean-Michel
5
Zhou, Hao
5
Bandi, Federico M.
4
Barigozzi, Matteo
4
Barndorff-Nielsen, Ole E.
4
Boswijk, Herman Peter
4
Calvet, Laurent E.
4
Caporin, Massimiliano
4
Fan, Jianqing
4
Gallo, Giampiero M.
4
Gonçalves, Sílvia
4
Härdle, Wolfgang
4
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
598
Finance research letters
513
International review of financial analysis
398
Applied economics
376
Journal of banking & finance
375
The journal of futures markets
344
International review of economics & finance : IREF
343
Economic modelling
339
The North American journal of economics and finance : a journal of financial economics studies
324
Applied financial economics
265
Journal of empirical finance
260
Applied economics letters
257
Research in international business and finance
255
Economics letters
245
International journal of theoretical and applied finance
245
Journal of international financial markets, institutions & money
236
Journal of international money and finance
222
Journal of risk and financial management : JRFM
197
Quantitative finance
185
Journal of financial economics
184
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
161
The European journal of finance
151
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
Journal of economic dynamics & control
146
International journal of forecasting
140
International journal of finance & economics : IJFE
139
Journal of forecasting
131
The review of financial studies
125
The journal of finance : the journal of the American Finance Association
116
Applied mathematical finance
115
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
111
Computational economics
106
Global finance journal
104
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
104
Journal of financial and quantitative analysis : JFQA
103
Review of quantitative finance and accounting
103
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ECONIS (ZBW)
430
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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
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:
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
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:
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
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
7
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:
8
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:
9
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
10
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
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