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~isPartOf:"Journal of econometrics"
~subject:"Volatilität"
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Volatilität
Theorie
69
Theory
69
Estimation
48
Schätzung
48
Risikomaß
41
Risk measure
41
Volatility
40
Risiko
38
Risk
38
Risikoprämie
34
Risk premium
34
Capital income
33
Kapitaleinkommen
33
Estimation theory
32
Forecasting model
32
Prognoseverfahren
32
Schätztheorie
32
CAPM
27
Portfolio selection
27
Portfolio-Management
27
Statistical distribution
27
Statistische Verteilung
27
Risikomanagement
25
Risk management
25
ARCH model
20
ARCH-Modell
20
Stochastic process
20
Stochastischer Prozess
20
Time series analysis
18
Zeitreihenanalyse
18
Börsenkurs
17
Share price
17
Risikoaversion
16
Risk aversion
16
Nichtparametrisches Verfahren
15
Nonparametric statistics
15
Credit risk
11
Kreditrisiko
11
Markov chain
11
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Undetermined
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Article
40
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English
40
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Todorov, Viktor
5
Bollerslev, Tim
4
Tauchen, George Eugene
3
Zhou, Hao
3
Aït-Sahalia, Yacine
2
Bekaert, Geert
2
Francq, Christian
2
Ghysels, Eric
2
Li, Jia
2
McAleer, Michael
2
Zakoïan, Jean-Michel
2
Andreou, Elena
1
Augustyniak, Maciej
1
Badescu, Alexandru
1
Bandi, Federico M.
1
Bansal, Ravi
1
Bondarenko, Oleg
1
Bégin, Jean-François
1
Calvet, Laurent E.
1
Caporin, Massimiliano
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chu, Amanda M. Y.
1
Creal, Drew
1
Dalderop, Jeroen
1
Duong, Diep
1
Engle, Robert F.
1
Engstrom, Eric
1
Eraker, Bjørn
1
Ermolov, Andrey
1
Fearnley, Marcus
1
Fisher, Adlai
1
Fleming, Michael J.
1
Forbes, Catherine Scipione
1
Gibson, Michael S.
1
Gouriéroux, Christian
1
Griffin, J. E.
1
Grose, Simone D.
1
Hafner, Christian M.
1
Han, Hyojin
1
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Published in...
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Journal of econometrics
Finance research letters
145
Energy economics
120
Journal of banking & finance
113
The North American journal of economics and finance : a journal of financial economics studies
105
International review of financial analysis
98
Working paper / National Bureau of Economic Research, Inc.
85
International review of economics & finance : IREF
78
NBER working paper series
77
Journal of empirical finance
72
Journal of financial economics
68
Economic modelling
67
Applied economics
63
NBER Working Paper
63
Working paper
52
Journal of international financial markets, institutions & money
50
Journal of risk and financial management : JRFM
50
Journal of international money and finance
48
Applied economics letters
44
Discussion paper / Centre for Economic Policy Research
44
Research in international business and finance
42
The review of financial studies
41
Economics letters
38
Risks : open access journal
38
Research paper series / Swiss Finance Institute
37
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
37
Pacific-Basin finance journal
36
Journal of economic dynamics & control
34
The journal of futures markets
33
Management science : journal of the Institute for Operations Research and the Management Sciences
32
The European journal of finance
32
International journal of theoretical and applied finance
29
Quantitative finance
28
CESifo working papers
27
Discussion papers / CEPR
27
The journal of finance : the journal of the American Finance Association
26
International journal of forecasting
25
Journal of financial markets
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Emerging markets, finance and trade : EMFT
24
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ECONIS (ZBW)
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1
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:
2
Efficient estimation of high-dimensional dynamic covariance by
risk
factor mapping : applications for financial
risk
management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
3
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
4
Estimation
risk
for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
5
Risk
-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
6
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
7
Intraday Value-at-
Risk
: an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
8
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
9
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
10
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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