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isPartOf:"Journal of econometrics"
~isPartOf:"Applied financial economics"
~isPartOf:"Finance research letters"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"NBER working paper series"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
1,778
Volatilität
1,774
Börsenkurs
485
Share price
485
Theorie
453
Theory
453
Estimation
422
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422
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310
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214
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Todorov, Viktor
12
Tauchen, George Eugene
8
McAleer, Michael
6
Asai, Manabu
5
Bollerslev, Tim
5
Andersen, Torben
3
Andersen, Torben G.
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Clark, Todd E.
3
Jones, Christopher S.
3
Li, Jia
3
Li, Zhongfei
3
Liang, Zongxia
3
Marcellino, Massimiliano
3
Shephard, Neil G.
3
Wang, Xingchun
3
Wong, Hoi Ying
3
Xiu, Dacheng
3
Yu, Jun
3
Ait-Sahalia, Yacine
2
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chacko, George
2
Chan, Joshua
2
Chen, Jun-Home
2
Chen, Rui
2
Chi, Yichun
2
Chib, Siddhartha
2
Creal, Drew
2
Cui, Zhenyu
2
Diebold, Francis X.
2
Dufour, Jean-Marie
2
Escobar, Marcos
2
Fisher, Adlai
2
Francq, Christian
2
Fusari, Nicola
2
Gallant, A. Ronald
2
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National Bureau of Economic Research
18
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Journal of econometrics
Applied financial economics
Finance research letters
Insurance / Mathematics & economics
International journal of finance & economics : IJFE
NBER working paper series
International journal of theoretical and applied finance
135
Quantitative finance
84
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
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
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47
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46
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46
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44
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38
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37
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36
International journal of financial engineering
35
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35
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32
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31
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30
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29
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29
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28
Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
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Review of derivatives research
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Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics
20
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18
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ECONIS (ZBW)
214
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214
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1
A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Bu, Ruijun
;
Cheng, Jie
;
Jawadi, Fredj
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 3881-3896
Persistent link: https://www.econbiz.de/10013461280
Saved in:
2
Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang
;
Xu, Wei
;
Rubtsov, Alexey
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 273-310
Persistent link: https://www.econbiz.de/10014469009
Saved in:
3
Decoding financial performance of US-listed entities : a sectoral exploration of input efficiency amid stochastic volatility
Andrews, Antony
;
Kumar, Nikeel Nishkar
- In:
Finance research letters
64
(
2024
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014531748
Saved in:
4
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:
5
A class of portfolio optimization solvable problems
Cheng, Yuyang
;
Escobar, Marcos
- In:
Finance research letters
52
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
Saved in:
6
Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance
Yi, Chae-Deug
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014472978
Saved in:
7
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:
8
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:
9
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:
10
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
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