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Volatility
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Journal of econometrics
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156
Quantitative finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
106
Discussion paper / Tinbergen Institute
93
Finance research letters
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Applied mathematical finance
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Energy economics
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Economics letters
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Journal of empirical finance
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Finance and stochastics
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Journal of economic dynamics & control
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Computational economics
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The journal of computational finance
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Journal of banking & finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
55
International journal of forecasting
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Journal of mathematical finance
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The journal of futures markets
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Applied economics
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Journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Annals of finance
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Risks : open access journal
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European journal of operational research : EJOR
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International journal of financial engineering
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CREATES research paper
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International review of financial analysis
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Journal of risk and financial management : JRFM
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Research paper series / Swiss Finance Institute
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Journal of financial econometrics
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Applied economics letters
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ECONIS (ZBW)
6,434
RePEc
5
EconStor
2
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1
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date (oldest first)
1
Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria
;
Yoshida, Nakahiro
- In:
Economic notes : economic review of Banca Monte dei …
39
(
2010
)
1/2
,
pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
Saved in:
2
Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
Zhou, Xiaocong
;
Nakajima, Jouchi
;
West, Mike
- In:
International journal of forecasting
30
(
2014
)
4
,
pp. 963-980
Persistent link: https://www.econbiz.de/10010517774
Saved in:
3
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
4
Estimation of long memory in integrated variance
Rossi, Eduardo
;
Santucci de Magistris, Paolo
- In:
Econometric reviews
33
(
2014
)
7
,
pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
Saved in:
5
Measurement errors and monetary policy : then and now
Amir Ahmadi, Pooyan
;
Matthes, Christian
;
Wang, Mu-Chun
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 66-78
Persistent link: https://www.econbiz.de/10011817602
Saved in:
6
Estimating diffusion models of stochastic volatility
Engle, Robert F.
;
Lee, Gary G. J.
-
1995
Persistent link: https://www.econbiz.de/10000930719
Saved in:
7
Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans
- In:
Econometrics in theory and practice : Festschrift for …
,
(pp. 189-203)
.
1998
Persistent link: https://www.econbiz.de/10001301445
Saved in:
8
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
-
2004
Persistent link: https://www.econbiz.de/10002479501
Saved in:
9
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
10
Markov-Chain Approximation and Estimation of Nonlinear, Non-Gaussian State Space Models
Farmer, Leland
-
2014
accuracy
and computational efficiency for empirically relevant sample sizes. This finding has important implications for the …
Persistent link: https://www.econbiz.de/10013048908
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