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Volatility and Return (Empiric...
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Volatility
340
Volatilität
340
Theorie
166
Theory
166
Estimation theory
160
Schätztheorie
160
Estimation
140
Schätzung
140
Capital income
132
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132
Time series analysis
121
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121
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119
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119
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87
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87
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85
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37
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37
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35
Noise trading
35
Statistical distribution
35
Statistische Verteilung
35
Correlation
34
Korrelation
34
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33
USA
32
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32
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29
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English
417
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Bollerslev, Tim
20
Todorov, Viktor
20
Tauchen, George Eugene
17
Aït-Sahalia, Yacine
15
Andersen, Torben
14
McAleer, Michael
10
Mykland, Per A.
10
Meddahi, Nour
9
Taylor, Robert
9
Xiu, Dacheng
9
Li, Jia
8
Patton, Andrew J.
8
Kim, Donggyu
7
Li, Yingying
7
Shephard, Neil G.
7
Zhang, Lan
7
Bandi, Federico M.
6
Cavaliere, Giuseppe
6
Diebold, Francis X.
6
Gallant, A. Ronald
6
Ghysels, Eric
6
Asai, Manabu
5
Fan, Jianqing
5
Gouriéroux, Christian
5
Hallin, Marc
5
Koopman, Siem Jan
5
Linton, Oliver
5
Maheu, John M.
5
Park, Joon Y.
5
Renault, Eric
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Corradi, Valentina
4
Francq, Christian
4
Garcia, René
4
Jasiak, Joann
4
Rahbek, Anders
4
Renò, Roberto
4
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
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Journal of econometrics
MPRA Paper
2,093
NBER working paper series
1,485
Finance research letters
1,467
Working paper / National Bureau of Economic Research, Inc.
1,181
NBER Working Papers
1,099
NBER Working Paper
1,052
Journal of banking & finance
1,035
International review of financial analysis
1,018
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904
ECB Working Paper
861
Energy economics
834
International review of economics & finance : IREF
823
Applied economics
813
CESifo Working Paper
773
CEPR Discussion Papers
747
Applied financial economics
718
Pacific-Basin finance journal
716
Journal of financial economics
709
Journal of empirical finance
674
CESifo working papers
667
Applied economics letters
642
Research in international business and finance
633
Journal of international financial markets, institutions & money
591
Economic modelling
590
The North American journal of economics and finance : a journal of financial economics studies
581
The journal of finance : the journal of the American Finance Association
568
Working paper
548
Research paper series / Swiss Finance Institute
528
CESifo Working Paper Series
496
Discussion paper / Centre for Economic Policy Research
493
Economics letters
480
The journal of futures markets
469
The European journal of finance
462
Discussion paper / Tinbergen Institute
453
Journal of risk and financial management : JRFM
439
The review of financial studies
438
Journal of international money and finance
430
IMF Working Paper
419
Review of quantitative finance and accounting
417
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ECONIS (ZBW)
417
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1
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:
2
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:
3
Climate risks and market efficiency
Hong, Harrison G.
;
Li, Weikai
;
Xu, Jiangmin
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Saved in:
4
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
5
High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Feng, Long
;
Lan, Wei
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 152-175
Persistent link: https://www.econbiz.de/10013441842
Saved in:
6
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:
7
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:
8
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
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9
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
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10
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
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