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Time series analysis
Volatility
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McAleer, Michael
52
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50
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48
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45
Gupta, Rangan
42
Andersen, Torben
33
Lux, Thomas
33
Härdle, Wolfgang
31
Lucas, André
31
Bollerslev, Tim
28
Engle, Robert F.
23
Taylor, Robert
22
Tauchen, George Eugene
21
Chan, Joshua
19
Chang, Chia-Lin
19
Hafner, Christian M.
19
Herwartz, Helmut
19
Cavaliere, Giuseppe
18
Dijk, Dick van
18
Kim, Donggyu
18
Sibbertsen, Philipp
18
Teräsvirta, Timo
18
Todorov, Viktor
18
Allen, David E.
17
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17
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Ma, Feng
17
Asai, Manabu
16
Bos, Charles S.
16
Caporin, Massimiliano
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Bauwens, Luc
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Hallin, Marc
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14
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14
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
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1
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1
Springer Fachmedien Wiesbaden
1
Springer International Publishing
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1
University of Chicago / Graduate School of Business
1
University of Strathclyde / Department of Economics
1
Westfälische Wilhelms-Universität Münster
1
William Davidson Institute <Ann Arbor, Mich.>
1
Zentrum für Europäische Wirtschaftsforschung
1
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Journal of econometrics
113
Discussion paper / Tinbergen Institute
86
Economic modelling
71
Energy economics
70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
62
International journal of forecasting
57
Finance research letters
56
Journal of empirical finance
56
Applied economics
50
Journal of forecasting
49
International review of financial analysis
44
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of banking & finance
41
Economics letters
40
Journal of financial econometrics
40
The North American journal of economics and finance : a journal of financial economics studies
40
Econometric reviews
37
Computational economics
33
International review of economics & finance : IREF
33
Quantitative finance
32
Working paper
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
Journal of risk and financial management : JRFM
26
CREATES research paper
25
Econometrics : open access journal
25
Research in international business and finance
24
SFB 649 discussion paper
22
Risks : open access journal
21
Econometric theory
20
Journal of international money and finance
20
The journal of futures markets
20
International journal of finance & economics : IJFE
19
Journal of applied econometrics
19
Applied economics letters
17
Journal of economic dynamics & control
17
Journal of financial economics
17
NBER Working Paper
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CESifo working papers
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Cambridge working papers in economics
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ECONIS (ZBW)
3,883
RePEc
2
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1
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3,885
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1
Memory in returns and volatilities of futures' contracts
Crato, Nuno
;
Ray, Bonnie K.
- In:
The journal of futures markets
20
(
2000
)
6
,
pp. 525-543
Persistent link: https://www.econbiz.de/10001509972
Saved in:
2
Forecasting fed cattle, feeder cattle, and corn cash price
volatility
: the accuracy of time series, implied
volatility
, and composite approaches
Manfredo, Mark R.
;
Leuthold, Raymond M.
;
Irwin, Scott H.
- In:
Journal of agricultural and applied economics
33
(
2001
)
3
,
pp. 523-538
Persistent link: https://www.econbiz.de/10001651333
Saved in:
3
Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.
;
Trevor, Robert G.
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
4
,
pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
Saved in:
4
Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.
;
Trevor, Robert G.
-
1997
Persistent link: https://www.econbiz.de/10000978435
Saved in:
5
Long term forecasts of
volatility
in the market for crude oil : do futures prices offer any clues?
Brochu, Stephen M.
-
2002
Persistent link: https://www.econbiz.de/10001875427
Saved in:
6
The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-li
;
Chen, Mei-ling
- In:
Review of quantitative finance and accounting
29
(
2007
)
4
,
pp. 371-394
Persistent link: https://www.econbiz.de/10003600297
Saved in:
7
The information content of treasury bond options concerning future
volatility
and price jumps
Busch, Thomas
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003286582
Saved in:
8
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic
volatility
Bos, Charles S.
-
2008
Persistent link: https://www.econbiz.de/10003645209
Saved in:
9
Time series momentum and
volatility
scaling
Kim, Abby Y.
;
Tse, Yiuman
;
Wald, John K.
- In:
Journal of financial markets
30
(
2016
),
pp. 103-124
Persistent link: https://www.econbiz.de/10011722256
Saved in:
10
The comovements along the term structure of oil forwards in periods of high and low
volatility
: how tight are they?
Marzo, Massimiliano
;
Zagaglia, Paolo
-
2009
Persistent link: https://www.econbiz.de/10003793443
Saved in:
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