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Volatility Puzzle
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537
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404
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Phillips, Peter C. B.
33
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22
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20
Todorov, Viktor
19
Ghysels, Eric
18
Koop, Gary
18
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18
Tauchen, George Eugene
18
Gouriéroux, Christian
17
Linton, Oliver
17
Taylor, Robert
17
Lee, Lung-fei
16
Swanson, Norman R.
16
McAleer, Michael
15
Patton, Andrew J.
15
Andersen, Torben
14
Corradi, Valentina
14
Granger, C. W. J.
14
Timmermann, Allan
14
Yu, Jun
14
Li, Qi
13
Chib, Siddhartha
12
Hsiao, Cheng
12
Mykland, Per A.
12
Schmidt, Peter
12
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11
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11
Steel, Mark F. J.
11
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10
Park, Joon Y.
10
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10
White, Halbert
10
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9
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9
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9
Gallant, A. Ronald
9
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9
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9
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9
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(EC)2 Conference <1, 1990; 2, 1991>
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Chengdu International Econometrics Conference in Honor of Professor Cheng Hsiao's Contribution to Econometrics <2012, Chengdu>
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1
National Bureau of Economic Research
1
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1
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Journal of econometrics
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Computers & operations research : and their applications to problems of world concern ; an international journal
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2,451
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2,272
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2,252
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2,226
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2,195
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2,190
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2,167
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2,127
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ECONIS (ZBW)
1,942
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1
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
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2
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
3
Common
volatility
shocks driven by the global carbon transition
Campos-Martins, Susana
;
Hendry, David F.
- In:
Journal of econometrics
239
(
2024
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10015073965
Saved in:
4
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
5
Examining macroeconomic models through the lens of asset pricing
Borovička, Jaroslav
;
Hansen, Lars Peter
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 67-90
Persistent link: https://www.econbiz.de/10010506087
Saved in:
6
A family of autoregressive conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
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7
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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8
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:
9
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:
10
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
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