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Estimation
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496
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340
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Bollerslev, Tim
21
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19
Aït-Sahalia, Yacine
18
Linton, Oliver
18
Andersen, Torben
15
Diebold, Francis X.
14
Phillips, Peter C. B.
14
Patton, Andrew J.
13
Ghysels, Eric
12
Mykland, Per A.
12
Swanson, Norman R.
12
McAleer, Michael
11
Pesaran, M. Hashem
11
Taylor, Robert
11
Xiu, Dacheng
11
Gouriéroux, Christian
10
Koopman, Siem Jan
10
Su, Liangjun
10
Clark, Todd E.
9
Corradi, Valentina
9
Gallant, A. Ronald
9
Hsiao, Cheng
9
Koop, Gary
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Meddahi, Nour
9
Sasaki, Yuya
9
Zhang, Lan
9
Gao, Jiti
8
Kapetanios, George
8
Li, Jia
8
Li, Yingying
8
Schorfheide, Frank
8
Shephard, Neil G.
8
Cavaliere, Giuseppe
7
Dijk, Herman K. van
7
Francq, Christian
7
Hong, Yongmiao
7
Kim, Donggyu
7
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Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
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Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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ECONIS (ZBW)
1,111
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1
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
2
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:
3
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:
4
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
Saved in:
5
Incorporating overnight and intraday returns into multivariate GARCH
volatility
models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
6
Increased correlation among asset classes : Are
volatility
or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
7
Option pricing with non-Gaussian scaling and infinite-state switching
volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
8
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
9
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
Saved in:
10
Do high-frequency measures of
volatility
improve forecasts of return distributions?
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 69-76
Persistent link: https://www.econbiz.de/10009242544
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