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~isPartOf:"Journal of econometrics"
~language:"eng"
~subject:"Time series analysis"
~subject:"Volatility"
~type_genre:"Article in journal"
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Time series analysis
Volatility
Estimation theory
1,601
Schätztheorie
1,601
Theorie
1,588
Theory
1,588
Zeitreihenanalyse
665
Nichtparametrisches Verfahren
542
Nonparametric statistics
542
Estimation
464
Schätzung
459
Regression analysis
450
Regressionsanalyse
450
Statistical test
321
Statistischer Test
321
Volatilität
320
Panel
305
Panel study
305
Forecasting model
278
Prognoseverfahren
278
USA
218
United States
218
Stochastic process
217
Stochastischer Prozess
217
Method of moments
204
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203
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179
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179
Bayes-Statistik
173
Bayesian inference
173
Statistical distribution
165
Statistische Verteilung
165
Cointegration
162
Kointegration
161
ARCH model
146
ARCH-Modell
146
Capital income
137
Kapitaleinkommen
137
Autocorrelation
134
Autokorrelation
134
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873
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12
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Article in journal
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885
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19
Sammelwerk
19
Konferenzschrift
8
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6
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5
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3
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3
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2
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Phillips, Peter C. B.
27
Bollerslev, Tim
20
Taylor, Robert
20
Todorov, Viktor
18
Tauchen, George Eugene
16
Linton, Oliver
15
Aït-Sahalia, Yacine
14
Andersen, Torben
12
Park, Joon Y.
12
Robinson, Peter M.
11
Chen, Xiaohong
10
Ghysels, Eric
10
Hallin, Marc
10
Koop, Gary
10
Leybourne, Stephen James
10
Swanson, Norman R.
10
Xiao, Zhijie
10
Yu, Jun
10
Cavaliere, Giuseppe
9
Gouriéroux, Christian
9
McAleer, Michael
9
Mykland, Per A.
9
Patton, Andrew J.
9
Xiu, Dacheng
9
Francq, Christian
8
Gao, Jiti
8
Koopman, Siem Jan
8
Li, Jia
8
Marcellino, Massimiliano
8
Meddahi, Nour
8
Shephard, Neil G.
8
Teräsvirta, Timo
8
Zakoïan, Jean-Michel
8
Corradi, Valentina
7
Harvey, David I.
7
Hong, Yongmiao
7
Velasco, Carlos
7
Zhu, Ke
7
Barigozzi, Matteo
6
Chen, Rong
6
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Conference on Realized Volatility <2006, Montréal>
1
Sir Clive Granger Memorial Conference <2010, Nottingham>
1
Published in...
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Journal of econometrics
Energy economics
729
Applied economics
662
Economics letters
650
International journal of forecasting
634
Finance research letters
557
Economic modelling
547
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
485
Applied economics letters
458
International review of financial analysis
437
Journal of forecasting
428
Journal of banking & finance
420
International review of economics & finance : IREF
399
The journal of futures markets
377
The North American journal of economics and finance : a journal of financial economics studies
369
Econometric theory
334
Applied financial economics
331
Journal of empirical finance
317
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
310
Journal of international money and finance
282
Research in international business and finance
282
International journal of theoretical and applied finance
273
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
272
Journal of international financial markets, institutions & money
269
Econometric reviews
267
Journal of risk and financial management : JRFM
247
Journal of economic dynamics & control
238
International Journal of Energy Economics and Policy : IJEEP
231
Computational economics
212
Journal of applied econometrics
212
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
209
Journal of financial economics
205
Quantitative finance
205
Pacific-Basin finance journal
182
International journal of finance & economics : IJFE
176
The European journal of finance
175
Journal of macroeconomics
155
The journal of finance : the journal of the American Finance Association
151
International journal of economics and financial issues : IJEFI
147
The review of financial studies
147
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ECONIS (ZBW)
885
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885
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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
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
3
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:
4
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
Saved in:
5
Canonical correlation-based model selection for the multilevel factors
Choi, In
;
Lin, Rui
;
Shin, Yongcheol
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 22-44
Persistent link: https://www.econbiz.de/10014340924
Saved in:
6
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:
7
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
8
CRPS learning
Berrisch, Jonathan
;
Ziel, Florian
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014471798
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
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
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