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Volatility
340
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340
Estimation theory
162
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154
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154
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132
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132
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Bollerslev, Tim
20
Todorov, Viktor
20
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
15
Andersen, Torben
14
McAleer, Michael
10
Mykland, Per A.
10
Li, Jia
8
Meddahi, Nour
8
Patton, Andrew J.
8
Xiu, Dacheng
8
Cavaliere, Giuseppe
7
Kim, Donggyu
7
Li, Yingying
7
Linton, Oliver
7
Shephard, Neil G.
7
Zhang, Lan
7
Ghysels, Eric
6
Taylor, Robert
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Koopman, Siem Jan
5
Rahbek, Anders
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Engle, Robert F.
4
Fan, Jianqing
4
Jasiak, Joann
4
Maheu, John M.
4
Park, Joon Y.
4
Renault, Eric
4
Yang, Xiye
4
Yu, Jun
4
Zaffaroni, Paolo
4
Zheng, Xinghua
4
Bandi, Federico M.
3
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
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1,537
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1,480
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1,234
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1,091
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1,047
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1,004
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624
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619
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619
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587
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582
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576
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557
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543
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426
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406
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398
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ECONIS (ZBW)
403
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1
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
Saved in:
2
Stock co-jump networks
Ding, Yi
;
Li, Yingying
;
Liu, Guoli
;
Zheng, Xinghua
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10015074466
Saved in:
3
Modeling long memory in stock market
volatility
Liu, Ming
- In:
Journal of econometrics
99
(
2000
)
1
,
pp. 139-171
Persistent link: https://www.econbiz.de/10001504433
Saved in:
4
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:
5
Forecasting multivariate realized stock market
volatility
Bauer, Gregory H.
;
Vorkink, Keith
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
Saved in:
6
Predicting
volatility
: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
Saved in:
7
Breaks and persistency: macroeconomic causes of stock market
volatility
Beltratti, Andrea
;
Morana, Claudio
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 151-177
Persistent link: https://www.econbiz.de/10003298570
Saved in:
8
A discrete-time model for daily S & P500 returns and realized variations : jumps and leverage effects
Bollerslev, Tim
;
Kretschmer, Uta
;
Pigorsch, Christian
; …
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 151-166
Persistent link: https://www.econbiz.de/10003858496
Saved in:
9
Modelling structural breaks, long memory and stock market
volatility
: an overview
Banerjee, Anindya
(
contributor
);
Urga, Giovanni
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003172637
Saved in:
10
Modelling structural breaks, long memory and stock market
volatility
: an overview
Banerjee, Anindya
;
Urga, Giovanni
- In:
Journal of econometrics
129
(
2005
)
1/2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10003172659
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