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Volatility
340
Volatilität
340
Theorie
285
Theory
285
Stochastic process
282
Stochastischer Prozess
282
Estimation theory
252
Schätztheorie
252
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209
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209
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173
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Bollerslev, Tim
21
Todorov, Viktor
20
Tauchen, George Eugene
17
Aït-Sahalia, Yacine
16
Andersen, Torben
14
Francq, Christian
13
Taylor, Robert
13
Mykland, Per A.
12
McAleer, Michael
11
Park, Joon Y.
11
Phillips, Peter C. B.
11
Xiu, Dacheng
10
Zakoïan, Jean-Michel
10
Linton, Oliver
9
Meddahi, Nour
9
Li, Jia
8
Patton, Andrew J.
8
Shephard, Neil G.
8
Cavaliere, Giuseppe
7
Ghysels, Eric
7
Kim, Donggyu
7
Koopman, Siem Jan
7
Li, Yingying
7
Renault, Eric
7
Zaffaroni, Paolo
7
Zhang, Lan
7
Bandi, Federico M.
6
Corradi, Valentina
6
Diebold, Francis X.
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Gouriéroux, Christian
6
Hallin, Marc
6
Ling, Shiqing
6
Maheu, John M.
6
Rahbek, Anders
6
Yu, Jun
6
Zhu, Ke
6
Andreou, Elena
5
Asai, Manabu
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance research letters
1,745
NBER working paper series
1,693
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1,453
Working paper / National Bureau of Economic Research, Inc.
1,452
European journal of operational research : EJOR
1,199
Journal of banking & finance
1,164
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1,048
International review of financial analysis
1,021
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969
Economics letters
951
International review of economics & finance : IREF
891
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846
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757
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741
Journal of financial economics
732
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690
Pacific-Basin finance journal
686
Journal of empirical finance
681
Discussion paper / Centre for Economic Policy Research
643
Research in international business and finance
640
Applied financial economics
630
CESifo working papers
621
The North American journal of economics and finance : a journal of financial economics studies
609
Management science : journal of the Institute for Operations Research and the Management Sciences
572
International journal of theoretical and applied finance
568
Risks : open access journal
567
The journal of finance : the journal of the American Finance Association
565
Journal of international financial markets, institutions & money
563
The journal of futures markets
539
Journal of economic dynamics & control
518
Discussion paper / Tinbergen Institute
516
The European journal of finance
492
The review of financial studies
492
Journal of risk and financial management : JRFM
484
Journal of international money and finance
475
Journal of financial and quantitative analysis : JFQA
432
Review of quantitative finance and accounting
432
Quantitative finance
427
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
410
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ECONIS (ZBW)
680
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1
Temporal aggregation of
volatility
models
Meddahi, Nour
;
Renault, Eric
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Saved in:
2
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:
3
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
4
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
5
Realized matrix-exponential stochastic
volatility
with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
6
Using time-varying
volatility
for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
7
Asymptotics for parametric GARCH-in-Mean models
Conrad, Christian
;
Mammen, Enno
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 319-329
Persistent link: https://www.econbiz.de/10011705167
Saved in:
8
Stock return and cash flow predictability : the role of
volatility
risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
9
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:
10
Kurtosis of GARCH and stochastic
volatility
models with non-normal innovations
Bai, Xuezheng
;
Russell, Jeffrey R.
;
Tiao, George C.
- In:
Journal of econometrics
114
(
2003
)
2
,
pp. 349-360
Persistent link: https://www.econbiz.de/10001750817
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