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~language:"eng"
~type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~subject:"Volatility"
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Volatility
Estimation theory
1,601
Schätztheorie
1,601
Theorie
1,588
Theory
1,588
Time series analysis
665
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
Momentenmethode
203
Bootstrap approach
179
Bootstrap-Verfahren
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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Undetermined
163
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Article
318
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2
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Article in journal
Aufsatz in Zeitschrift
320
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2
Sammelwerk
2
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1
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1
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English
Author
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Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
3
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
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Journal of econometrics
Energy economics
598
Finance research letters
488
International review of financial analysis
398
Journal of banking & finance
375
Applied economics
372
The journal of futures markets
344
Economic modelling
338
International review of economics & finance : IREF
338
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
235
Journal of international money and finance
221
Journal of risk and financial management : JRFM
197
Journal of financial economics
184
Quantitative finance
183
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
157
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
The European journal of finance
150
Journal of economic dynamics & control
145
International journal of forecasting
140
International journal of finance & economics : IJFE
136
Journal of forecasting
128
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
Journal of financial econometrics : official journal of the Society for Financial Econometrics
110
Computational economics
105
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
104
Global finance journal
103
Journal of financial and quantitative analysis : JFQA
103
Review of quantitative finance and accounting
103
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ECONIS (ZBW)
320
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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
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
3
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:
4
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:
5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
6
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:
7
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:
8
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
9
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:
10
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
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