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Volatility
340
Volatilität
340
Estimation theory
181
Schätztheorie
181
Theorie
181
Theory
181
ARCH model
173
ARCH-Modell
173
Time series analysis
148
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148
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Bollerslev, Tim
21
Todorov, Viktor
19
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
15
Andersen, Torben
13
Francq, Christian
13
McAleer, Michael
11
Mykland, Per A.
10
Xiu, Dacheng
9
Zakoïan, Jean-Michel
9
Ghysels, Eric
8
Gouriéroux, Christian
8
Li, Jia
8
Meddahi, Nour
8
Patton, Andrew J.
8
Shephard, Neil G.
8
Kim, Donggyu
7
Li, Yingying
7
Taylor, Robert
7
Cavaliere, Giuseppe
6
Maheu, John M.
6
Park, Joon Y.
6
Renault, Eric
6
Zaffaroni, Paolo
6
Zhang, Lan
6
Asai, Manabu
5
Corradi, Valentina
5
Gallant, A. Ronald
5
Hallin, Marc
5
Koopman, Siem Jan
5
Laurent, Sébastien
5
Ling, Shiqing
5
Linton, Oliver
5
Monfort, Alain
5
Rahbek, Anders
5
Zhou, Hao
5
Zhu, Ke
5
Andreou, Elena
4
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4
Blasques, F.
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
The Indian economic journal
1,297
The Indian journal of economics
1,202
The Indian journal of labour economics : a quarterly journal of Indian Society of Labour Economics
1,118
Economic & political weekly : a Sameeksha Trust publ.
1,053
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1,033
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1,000
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983
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Economic developments in India : quarterly update : analysis, reports, policy documents
924
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888
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872
Working paper / National Bureau of Economic Research, Inc.
859
Finance research letters
840
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809
The Asian economic review : journal of the Indian Institute of Economics
798
Indian journal of agricultural economics
682
MPRA Paper
675
Journal of banking & finance
672
Applied economics
662
Foreign trade review : quarterly journal of Indian Institute of Foreign Trade
609
World development : the multi-disciplinary international journal devoted to the study and promotion of world development
539
International review of financial analysis
532
Economic modelling
524
International review of economics & finance : IREF
517
Economic affairs : quarterly journal of economics
501
International journal of theoretical and applied finance
476
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463
Policy research working paper : WPS
449
Economics letters
435
The North American journal of economics and finance : a journal of financial economics studies
414
Margin : quarterly journal of the National Council of Applied Economic Research
409
Applied economics letters
407
Discussion paper series / IZA
402
Praj̄nȧn : journal of social and management sciences
394
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393
International journal of Indian culture and business management
388
Research in international business and finance
386
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ECONIS (ZBW)
461
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1
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
2
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
3
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
4
Econometric analysis of financial derivatives
Chang, Chia-Lin
(
ed.
);
McAleer, Michael
(
ed.
)
-
2015
Persistent link: https://www.econbiz.de/10011499675
Saved in:
5
The effects of asymmetric
volatility
and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
6
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
Saved in:
7
Closed-form implied
volatility
surfaces for stochastic
volatility
models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
8
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
9
Regime switching in foreign exchange rates : evidence from currency option prices
Bollen, Nicolas P. B.
;
Gray, Stephen
;
Whaley, Robert E.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 239-276
Persistent link: https://www.econbiz.de/10001437758
Saved in:
10
A multivariate stochastic unit root model with an application to
derivative
pricing
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
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