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isPartOf:"Journal of econometrics"
~isPartOf:"Applied financial economics"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"NBER working paper series"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Zeitreihenanalyse
Volatility
1,260
Volatilität
1,260
Theorie
376
Theory
376
Estimation
304
Schätzung
304
Börsenkurs
297
Share price
297
Capital income
257
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257
ARCH model
182
ARCH-Modell
182
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180
Aktienmarkt
158
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158
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146
Wechselkurs
146
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137
Estimation theory
130
Schätztheorie
130
Forecasting model
121
Prognoseverfahren
121
Welt
108
World
108
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105
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105
Option pricing theory
93
Optionspreistheorie
93
Business cycle
76
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75
Financial market
70
Finanzmarkt
70
Portfolio selection
69
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69
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64
Risk
64
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English
284
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Todorov, Viktor
15
Bollerslev, Tim
10
Tauchen, George Eugene
9
McAleer, Michael
8
Andersen, Torben
7
Asai, Manabu
6
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Shephard, Neil G.
5
Andersen, Torben G.
4
Aït-Sahalia, Yacine
4
Boswijk, Herman Peter
4
Hallin, Marc
4
Patton, Andrew J.
4
Xiu, Dacheng
4
Barigozzi, Matteo
3
Carriero, Andrea
3
Cavaliere, Giuseppe
3
Chang, Chia-Lin
3
Clark, Todd E.
3
Diebold, Francis X.
3
Fan, Jianqing
3
Fernández-Villaverde, Jesús
3
Gupta, Rangan
3
Kong, Xin-Bing
3
Li, Zhongfei
3
Liang, Zongxia
3
Marcellino, Massimiliano
3
Meddahi, Nour
3
Park, Joon Y.
3
Taylor, Robert
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Yu, Jun
3
Ait-Sahalia, Yacine
2
Amengual, Dante
2
Bondarenko, Oleg
2
Calvet, Laurent E.
2
Chacko, George
2
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National Bureau of Economic Research
27
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Journal of econometrics
Applied financial economics
Insurance / Mathematics & economics
International journal of finance & economics : IJFE
NBER working paper series
International journal of theoretical and applied finance
138
Discussion paper / Tinbergen Institute
105
Quantitative finance
100
Energy economics
92
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
89
Economic modelling
70
Finance research letters
70
Journal of empirical finance
67
Econometric reviews
66
International journal of forecasting
65
Applied mathematical finance
62
Computational economics
58
Journal of economic dynamics & control
57
Economics letters
55
The North American journal of economics and finance : a journal of financial economics studies
55
Working paper
53
Applied economics
52
Finance and stochastics
51
Journal of banking & finance
51
The journal of computational finance
51
Journal of financial econometrics : official journal of the Society for Financial Econometrics
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
CREATES research paper
45
European journal of operational research : EJOR
42
Journal of mathematical finance
42
Journal of risk and financial management : JRFM
41
International review of economics & finance : IREF
39
International review of financial analysis
38
Journal of forecasting
38
International journal of financial engineering
37
The journal of futures markets
37
Journal of financial econometrics
34
Risks : open access journal
34
Research paper series / Swiss Finance Institute
32
Annals of finance
30
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ECONIS (ZBW)
284
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284
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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
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:
4
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:
5
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:
6
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
8
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:
9
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:
10
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
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