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isPartOf:"Journal of econometrics"
~isPartOf:"Applied economics"
~isPartOf:"Economics letters"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatilität
1,412
Volatility
1,411
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425
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425
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365
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Todorov, Viktor
12
Tauchen, George Eugene
8
McAleer, Michael
6
Andersen, Torben
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Asai, Manabu
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Aït-Sahalia, Yacine
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Park, Joon Y.
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Shephard, Neil G.
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Xiu, Dacheng
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Yu, Jun
3
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Calvet, Laurent E.
2
Chacko, George
2
Chan, Joshua
2
Chib, Siddhartha
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Dimitrakopoulos, Stefanos
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Dufour, Jean-Marie
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2
Jensen, Mark J.
2
Kim, Donggyu
2
Maheu, John M.
2
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2
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Journal of econometrics
Applied economics
Economics letters
Working paper / National Bureau of Economic Research, Inc.
International journal of theoretical and applied finance
135
Quantitative finance
88
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
The journal of computational finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of economic dynamics & control
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International journal of financial engineering
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Journal of banking & finance
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Finance research letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
31
The journal of futures markets
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Journal of empirical finance
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Research paper series / Swiss Finance Institute
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Energy economics
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Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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CAMA working paper series
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Review of derivatives research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
161
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1
Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
2
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
3
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
Saved in:
4
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:
5
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:
6
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:
7
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:
8
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
9
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
10
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
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