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Phillips, Peter C. B.
32
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22
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20
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19
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18
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18
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18
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18
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17
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17
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16
Lee, Lung-fei
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14
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Yu, Jun
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ECONIS (ZBW)
1,930
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1
A generalized bivariate mixture model for stock price
volatility
and trading volume
Liesenfeld, Roman
- In:
Journal of econometrics
104
(
2001
)
1
,
pp. 141-178
Persistent link: https://www.econbiz.de/10001589531
Saved in:
2
Volume,
volatility
, and leverage : a dynamic analysis
Tauchen, George Eugene
;
Zhang, Harold
;
Liu, Ming
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 177-208
Persistent link: https://www.econbiz.de/10001755397
Saved in:
3
Modeling the interdependence of
volatility
and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
- In:
Journal of econometrics
106
(
2002
)
2
,
pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
Saved in:
4
Dynamic equilibrium and
volatility
in financial asset markets
Aït-Sahalia, Yacine
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
Saved in:
5
Real-time forecast evaluation of DSGE models with stochastic
volatility
Diebold, Francis X.
;
Schorfheide, Frank
;
Shin, Minchul
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
Saved in:
6
A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong
- In:
Journal of econometrics
72
(
1996
)
1
,
pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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7
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:
8
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
9
Causality effects in return
volatility
measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
10
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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