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~subject:"Volatility"
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Volatility
Theory
148
Theorie
146
Time series analysis
87
Zeitreihenanalyse
87
Estimation theory
60
Schätztheorie
60
Strukturbruch
43
Structural break
42
Capital income
38
Kapitaleinkommen
38
CAPM
30
Statistischer Test
30
Einheitswurzeltest
28
Estimation
28
Schätzung
28
Unit root test
28
Statistical test
27
Volatilität
27
Structural change
23
structural change
23
Forecasting model
22
Prognoseverfahren
22
Börsenkurs
21
Share price
20
Risikoprämie
19
Risk premium
18
Statistical theory
18
Statistische Methodenlehre
18
Stochastic process
18
Stochastischer Prozess
18
Strukturwandel
18
Regression analysis
17
Regressionsanalyse
17
USA
16
Risiko
15
Risk
15
United States
15
Change-point
14
Nichtparametrisches Verfahren
14
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Free
10
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4
CC license
1
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Article
15
Book / Working Paper
12
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Article in journal
15
Aufsatz in Zeitschrift
15
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
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5
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1
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1
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1
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1
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1
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1
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Language
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English
27
Author
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Garcia, René
18
Perron, Pierre
9
Renault, Eric
6
Dufour, Jean-Marie
3
Qu, Zhongjun
3
Taamouti, Abderrahim
3
Almeida, Caio
2
Ardison, Kym
2
Bonomo, Marco Antonio
2
Ghysels, Eric
2
Gungor, Sermin
2
Mantilla-Garcia, Daniel
2
Martellini, Lionel
2
Meddahi, Nour
2
Tédongap, Roméo
2
Xu, Jiawen
2
Chabi-Yo, Fousseni
1
Diebhold, Francis X.
1
Fontaine, Jean-Sebastien
1
Fontaine, Jean-Sébastien
1
Jacobs, Kris
1
Lewis, Marc-André
1
Li, Ye
1
Lu, Yang K.
1
Orłowski, Piotr
1
Pastorello, Sergio
1
Rodrigues, Paulo M. M.
1
Shi, Wendong
1
Varneskov, Rasmus Tangsgaard
1
Vicente, José Valentim Machado
1
Yamamoto, Yohei
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
2
Applied economics
1
CIRANO - Scientific Publication
1
CIRANO Scientific Publication
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
IDEI working papers
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Journal of risk and financial management : JRFM
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative finance
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The econometrics journal
1
The review of financial studies
1
Tools and techniques
1
Working paper / Bank of Canada
1
Working paper / Department of Economics, Universidad Carlos III de Madrid
1
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ECONIS (ZBW)
27
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1
Risk aversion, intertemporal substitution, and option pricing
Garcia, René
;
Renault, Eric
-
1998
Persistent link: https://www.econbiz.de/10000984192
Saved in:
2
A note on hedging in ARCH and stochastic volatility option pricing models
Garcia, René
- In:
Mathematical finance : an international journal of …
8
(
1998
)
2
,
pp. 153-161
Persistent link: https://www.econbiz.de/10001242838
Saved in:
3
The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments
Chabi-Yo, Fousseni
;
Garcia, René
;
Renault, Eric
-
2005
Persistent link: https://www.econbiz.de/10002655756
Saved in:
4
The econometrics of option pricing
Garcia, René
;
Ghysels, Eric
;
Renault, Eric
-
2010
Persistent link: https://www.econbiz.de/10003900680
Saved in:
5
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
6
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
Saved in:
7
Generalized disappointment aversion, long-run volatility risk and asset prices
Bonomo, Marco Antonio
;
Garcia, René
;
Meddahi, Nour
; …
-
2010
Persistent link: https://www.econbiz.de/10008749056
Saved in:
8
Generalized disappointment aversion, long-run volatility risk, and asset prices
Bonomo, Marco Antonio
;
Garcia, René
;
Meddahi, Nour
; …
- In:
The review of financial studies
24
(
2011
)
1
,
pp. 82-122
Persistent link: https://www.econbiz.de/10008909444
Saved in:
9
Measuring high-frequency causality between returns, realized volatility, and implied volatility
Dufour, Jean-Marie
;
Garcia, René
;
Taamouti, Abderrahim
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 124-163
Persistent link: https://www.econbiz.de/10009519709
Saved in:
10
Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie
(
contributor
);
Garcia, René
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003774245
Saved in:
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