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isPartOf:"Journal of econometrics"
~isPartOf:"CORE discussion paper : DP"
~isPartOf:"Studies in Nonlinear Dynamics & Econometrics"
~person:"Francq, Christian"
~person:"Ghysels, Eric"
~person:"McAleer, Michael"
~person:"Mykland, Per A."
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Search: subject_exact:"Volatility"
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Volatility
27
Volatilität
27
Estimation
9
Estimation theory
9
Schätztheorie
9
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9
Stochastic process
9
Stochastischer Prozess
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Francq, Christian
Ghysels, Eric
McAleer, Michael
Mykland, Per A.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Giot, Pierre
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hafner, Christian M.
5
Hallin, Marc
5
Li, Yingying
5
Renault, Eric
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Gallo, Giampiero
4
Jasiak, Joann
4
Laurent, Sébastien
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renò, Roberto
4
Rombouts, Jeroen V. K.
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
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3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
CORE discussion paper : DP
Studies in Nonlinear Dynamics & Econometrics
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72
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53
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40
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14
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7
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6
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6
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4
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International review of economics & finance : IREF
4
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4
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3
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3
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3
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3
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3
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2
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2
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2
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ECONIS (ZBW)
27
RePEc
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1
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
5
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
6
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
8
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
9
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
10
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
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