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Asymmetric realized volatility...
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Estimation
621
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619
Estimation theory
546
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546
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415
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415
Volatility
340
Volatilität
340
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299
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299
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289
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80
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Bollerslev, Tim
21
Todorov, Viktor
20
Linton, Oliver
19
Tauchen, George Eugene
18
Timmermann, Allan
18
Aït-Sahalia, Yacine
17
Andersen, Torben
15
Phillips, Peter C. B.
14
Mykland, Per A.
13
Patton, Andrew J.
13
Swanson, Norman R.
13
Taylor, Robert
13
Ghysels, Eric
12
Pesaran, M. Hashem
12
Diebold, Francis X.
11
Gao, Jiti
11
McAleer, Michael
11
Koopman, Siem Jan
10
Su, Liangjun
10
Xiu, Dacheng
10
Clark, Todd E.
9
Corradi, Valentina
9
Gouriéroux, Christian
9
Hsiao, Cheng
9
Koop, Gary
9
Meddahi, Nour
9
Park, Joon Y.
9
Sasaki, Yuya
9
Zhang, Lan
9
Bai, Jushan
8
Cavaliere, Giuseppe
8
Chen, Songnian
8
Francq, Christian
8
Gallant, A. Ronald
8
Hong, Yongmiao
8
Kapetanios, George
8
Li, Jia
8
Li, Yingying
8
Robinson, Peter M.
8
Schorfheide, Frank
8
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Conference on Realized Volatility <2006, Montréal>
1
International Conference on Econometrics <2016, Melbourne>
1
National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Journal of econometrics
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1,642
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1,572
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1,221
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1,130
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1,113
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1,078
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1,076
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1,057
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
966
International Journal of Energy Economics and Policy : IJEEP
951
World Bank E-Library Archive
897
Technological forecasting & social change : an international journal
890
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854
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ECONIS (ZBW)
1,172
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1
R-
estimation
in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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2
The VIX, the variance premium and stock market
volatility
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
Saved in:
3
A simple joint model for returns,
volatility
and
volatility
of
volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
4
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:
5
Nonparametric heteroskedasticity in persistent panel processes : an application to earnings dynamics
Botosaru, Irene
;
Sasaki, Yuya
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 283-296
Persistent link: https://www.econbiz.de/10011974674
Saved in:
6
Probabilistic forecasts of
volatility
and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
7
Predicting the VIX and the
volatility
risk premium : the role of short-run funding spreads
Volatility
Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
8
Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
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9
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
10
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
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