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isPartOf:"Journal of econometrics"
~accessRights:"restricted"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~language:"eng"
~subject:"Share price"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Share price
Zeitreihenanalyse
Volatility
306
Volatilität
306
Estimation
104
Schätzung
104
Theorie
91
Theory
91
Börsenkurs
85
Time series analysis
80
Estimation theory
76
Schätztheorie
76
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67
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67
USA
66
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66
Capital income
60
Kapitaleinkommen
60
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39
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39
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34
Prognoseverfahren
34
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31
Market microstructure
30
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30
CAPM
29
Business cycle
27
Nichtparametrisches Verfahren
27
Nonparametric statistics
27
Konjunktur
26
High-frequency data
24
Option pricing theory
24
Optionspreistheorie
24
Noise Trading
23
Noise trading
23
Welt
23
World
23
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22
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22
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Li, Jia
6
Todorov, Viktor
6
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Andersen, Torben
4
Aït-Sahalia, Yacine
4
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Barigozzi, Matteo
3
Bloom, Nicholas
3
Christensen, Kim
3
Kong, Xin-Bing
3
Taylor, Robert
3
Wang, Yazhen
3
Asai, Manabu
2
Baker, Scott
2
Boswijk, Herman Peter
2
Carlin, Bruce Ian
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Chang, Chia-Lin
2
Clinet, Simon
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Farmer, Roger E. A.
2
Giglio, Stefano
2
Hounyo, Ulrich
2
Kelly, Bryan T.
2
Laeven, Roger J. A.
2
Li, Guodong
2
Li, Wai Keung
2
Liu, Zhi
2
Mykland, Per A.
2
Nieuwerburgh, Stijn van
2
Petrova, Katerina
2
Podolskij, Mark
2
Poon, Aubrey
2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
Finance research letters
238
Energy economics
145
The North American journal of economics and finance : a journal of financial economics studies
123
International review of financial analysis
122
International review of economics & finance : IREF
109
Applied economics
98
Economic modelling
90
Research in international business and finance
85
Journal of banking & finance
71
Journal of empirical finance
69
International journal of forecasting
60
Journal of international financial markets, institutions & money
56
Applied economics letters
55
Pacific-Basin finance journal
53
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Discussion paper / Centre for Economic Policy Research
44
Economics letters
41
Journal of financial econometrics
41
Journal of financial economics
41
Quantitative finance
41
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
40
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
38
The European journal of finance
35
The journal of futures markets
31
Journal of forecasting
30
International journal of finance & economics : IJFE
29
Journal of financial markets
28
Computational economics
26
Econometric reviews
25
Global finance journal
25
Discussion papers / CEPR
22
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
21
Journal of economic dynamics & control
20
Review of quantitative finance and accounting
20
Journal of international money and finance
19
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
18
Journal of financial and quantitative analysis : JFQA
18
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ECONIS (ZBW)
138
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138
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1
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
2
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
3
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
4
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
Saved in:
5
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
6
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
7
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:
8
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
9
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
10
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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