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The determinants of volatility...
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Volatility
340
Volatilität
340
Forecasting model
299
Prognoseverfahren
299
Theorie
268
Theory
268
Estimation theory
229
Schätztheorie
229
Time series analysis
193
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193
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183
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181
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132
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122
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122
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90
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90
Börsenkurs
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Factor analysis
39
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English
637
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Bollerslev, Tim
21
Todorov, Viktor
20
Timmermann, Allan
18
Tauchen, George Eugene
17
Andersen, Torben
15
Aït-Sahalia, Yacine
15
Diebold, Francis X.
13
Mykland, Per A.
13
Patton, Andrew J.
13
Swanson, Norman R.
12
Taylor, Robert
11
Ghysels, Eric
10
Linton, Oliver
10
McAleer, Michael
10
Xiu, Dacheng
10
Clark, Todd E.
9
Corradi, Valentina
9
Meddahi, Nour
9
Zhang, Lan
9
Koopman, Siem Jan
8
Li, Jia
8
Shephard, Neil G.
8
Dijk, Herman K. van
7
Kim, Donggyu
7
Li, Yingying
7
Schorfheide, Frank
7
Bandi, Federico M.
6
Cavaliere, Giuseppe
6
Elliott, Graham
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Maheu, John M.
6
McCracken, Michael W.
6
Renault, Eric
6
Asai, Manabu
5
Carriero, Andrea
5
Gouriéroux, Christian
5
Hallin, Marc
5
Hong, Yongmiao
5
Kapetanios, George
5
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Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Journal of econometrics
International journal of forecasting
1,632
NBER working paper series
1,502
Finance research letters
1,468
Working paper / National Bureau of Economic Research, Inc.
1,358
NBER Working Paper
1,250
Journal of forecasting
1,061
Journal of banking & finance
996
Energy economics
980
International review of financial analysis
947
Applied economics
938
International review of economics & finance : IREF
754
Applied economics letters
729
Discussion paper / Centre for Economic Policy Research
704
Economics letters
698
Economic modelling
685
Journal of financial economics
678
Working paper
667
Journal of empirical finance
653
Applied financial economics
631
Pacific-Basin finance journal
607
The North American journal of economics and finance : a journal of financial economics studies
574
Research in international business and finance
564
CESifo working papers
537
The journal of finance : the journal of the American Finance Association
513
Journal of international financial markets, institutions & money
494
The review of financial studies
492
The journal of futures markets
479
Management science : journal of the Institute for Operations Research and the Management Sciences
456
Discussion paper / Tinbergen Institute
454
Journal of international money and finance
452
The European journal of finance
439
European journal of operational research : EJOR
419
Journal of risk and financial management : JRFM
419
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
414
Review of quantitative finance and accounting
413
Journal of financial and quantitative analysis : JFQA
398
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
370
Discussion paper series / IZA
357
IMF working papers
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ECONIS (ZBW)
637
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1
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
2
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
3
Forecasting multifractal
volatility
Calvet, Laurent E.
;
Fisher, Adlai
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 27-58
Persistent link: https://www.econbiz.de/10001617142
Saved in:
4
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:
5
Volatillity forecast comparison using imperfect
volatility
proxies
Patton, Andrew J.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
Saved in:
6
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:
7
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:
8
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
Saved in:
9
The role of implied
volatility
in forecasting future realized
volatility
and jumps in foreign exchange, stock, and bond markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 48-57
Persistent link: https://www.econbiz.de/10009242554
Saved in:
10
Threshold bipower variation and the impact of jumps on
volatility
forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
- In:
Journal of econometrics
159
(
2010
)
2
,
pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
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