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Volatility
340
Volatilität
340
Theorie
140
Theory
140
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138
Schätztheorie
138
Stochastic process
120
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Bollerslev, Tim
20
Todorov, Viktor
19
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
15
Andersen, Torben
13
McAleer, Michael
10
Mykland, Per A.
10
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8
Meddahi, Nour
8
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8
Xiu, Dacheng
8
Ghysels, Eric
7
Kim, Donggyu
7
Li, Yingying
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Gouriéroux, Christian
6
Koopman, Siem Jan
6
Zhang, Lan
6
Asai, Manabu
5
Gallant, A. Ronald
5
Hallin, Marc
5
Linton, Oliver
5
Taylor, Robert
5
Zhou, Hao
5
Bandi, Federico M.
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Fan, Jianqing
4
Jasiak, Joann
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zaffaroni, Paolo
4
Zheng, Xinghua
4
Calvet, Laurent E.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
MPRA Paper
965
NBER working paper series
952
Finance research letters
907
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749
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741
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728
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728
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667
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565
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518
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513
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447
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416
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416
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394
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389
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386
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374
Research in international business and finance
371
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354
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352
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340
LSE Research Online Documents on Economics
336
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334
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302
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297
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295
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292
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289
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287
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281
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273
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269
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263
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261
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253
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241
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
232
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ECONIS (ZBW)
349
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1
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
2
Market
liquidity
as dynamic factors
Hallin, Marc
;
Mathias, Charles
;
Pirotte, Hugues
; …
- In:
Journal of econometrics
163
(
2011
)
1
,
pp. 42-50
Persistent link: https://www.econbiz.de/10009270591
Saved in:
3
Model-free approaches to discern non-stationary microstructure noise and time-varying
liquidity
in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
4
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
5
Liquidity
and
volatility
in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
6
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
7
High frequency market making : the role of speed
Aït-Sahalia, Yacine
;
Sağlam, Mehmet
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10015074464
Saved in:
8
Multiperiod corporate default prediction : a forward intensity approach
Duan, Jin-Chuan
;
Sun, Jie
;
Wang, Tao
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 191-209
Persistent link: https://www.econbiz.de/10009673113
Saved in:
9
Modeling frailty-correlated defaults using many macroeconomic covariates
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 312-325
Persistent link: https://www.econbiz.de/10009270628
Saved in:
10
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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