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Volatility
340
Volatilität
340
Theorie
202
Theory
202
Estimation theory
193
Schätztheorie
193
ARCH model
173
ARCH-Modell
173
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150
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Bollerslev, Tim
22
Todorov, Viktor
20
Tauchen, George Eugene
17
Aït-Sahalia, Yacine
16
Andersen, Torben
14
Francq, Christian
13
McAleer, Michael
11
Mykland, Per A.
10
Patton, Andrew J.
9
Xiu, Dacheng
9
Zakoïan, Jean-Michel
9
Li, Jia
8
Li, Yingying
8
Linton, Oliver
8
Meddahi, Nour
8
Shephard, Neil G.
8
Ghysels, Eric
7
Kim, Donggyu
7
Sentana, Enrique
7
Taylor, Robert
7
Cavaliere, Giuseppe
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Maheu, John M.
6
Park, Joon Y.
6
Zaffaroni, Paolo
6
Zhang, Lan
6
Asai, Manabu
5
Chang, Chia-Lin
5
Corradi, Valentina
5
Gouriéroux, Christian
5
Hallin, Marc
5
Koopman, Siem Jan
5
Laurent, Sébastien
5
Ling, Shiqing
5
Rahbek, Anders
5
Renault, Eric
5
Zhang, Zhengjun
5
Zheng, Xinghua
5
Zhou, Hao
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance research letters
1,674
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1,409
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1,257
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1,218
NBER Working Paper
1,098
International review of financial analysis
1,040
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982
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914
International review of economics & finance : IREF
849
The journal of futures markets
794
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721
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671
Pacific-Basin finance journal
651
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645
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642
Journal of empirical finance
626
Journal of financial economics
617
The North American journal of economics and finance : a journal of financial economics studies
615
Journal of international financial markets, institutions & money
611
Economics letters
590
International journal of theoretical and applied finance
577
Discussion paper / Centre for Economic Policy Research
572
European journal of operational research : EJOR
564
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530
The European journal of finance
514
IMF Working Papers
504
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502
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496
Journal of international money and finance
495
Journal of economic dynamics & control
470
Quantitative finance
468
Journal of risk and financial management : JRFM
463
Research paper series / Swiss Finance Institute
424
The review of financial studies
419
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
413
Journal of financial and quantitative analysis : JFQA
403
Discussion paper / Tinbergen Institute
399
Management science : journal of the Institute for Operations Research and the Management Sciences
381
CESifo working papers
378
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ECONIS (ZBW)
501
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1
Long-term equity anticipation securities and stock market
volatility
dynamics
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
92
(
1999
)
1
,
pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
Saved in:
2
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Saved in:
3
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
4
A coupled component DCS-EGARCH model for intraday and overnight
volatility
Linton, Oliver
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
Saved in:
5
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
6
Dynamic conditional angular correlation
Jarjour, Riad
;
Chan, Kung-sik
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
Saved in:
7
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
8
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
9
Volatility
prediction comparison via robust
volatility
proxies : an empirical deviation perspective
Wang, Weichen
;
An, Ran
;
Zhu, Ziwei
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10015074492
Saved in:
10
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
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