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isPartOf:"Journal of econometrics"
~isPartOf:"CORE discussion paper : DP"
~subject:"Capital income"
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Search: subject_exact:"Volatility"
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Capital income
Volatility
340
Volatilität
340
Theorie
136
Theory
136
Estimation theory
117
Schätztheorie
117
Stochastic process
106
Stochastischer Prozess
106
Estimation
104
Schätzung
104
Time series analysis
102
Zeitreihenanalyse
102
ARCH model
72
ARCH-Modell
72
Kapitaleinkommen
72
Börsenkurs
71
Share price
71
Forecasting model
49
Prognoseverfahren
49
Market microstructure
43
Marktmikrostruktur
43
Option pricing theory
43
Optionspreistheorie
43
Nichtparametrisches Verfahren
41
Nonparametric statistics
41
Statistical distribution
34
Statistische Verteilung
34
Stochastic volatility
34
USA
28
United States
28
Noise Trading
26
Noise trading
26
High-frequency data
25
CAPM
24
Bayes-Statistik
23
Bayesian inference
23
Bootstrap approach
19
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19
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19
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Article
69
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Article in journal
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Bollerslev, Tim
8
Todorov, Viktor
8
Andersen, Torben
5
Mykland, Per A.
5
Meddahi, Nour
4
Tauchen, George Eugene
4
Aït-Sahalia, Yacine
3
Renault, Eric
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Asai, Manabu
2
Bekaert, Geert
2
Bouezmarni, Taoufik
2
Li, Jia
2
Li, Yingying
2
McAleer, Michael
2
Paolella, Marc S.
2
Patton, Andrew J.
2
Polak, Pawel
2
Sheppard, Kevin
2
Taamouti, Abderrahim
2
Zhang, Lan
2
Ahsan, Nazmul
1
Archakov, Ilya
1
Bandi, Federico M.
1
Bansal, Ravi
1
Bauer, Gregory H.
1
Bibinger, Markus
1
Breidt, F. Jay
1
Caginalp, Gunduz
1
Calvet, Laurent E.
1
Cebiroglu, Gökhan
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Richard Y.
1
Chen, Rui
1
Choi, Yongok
1
Chu, Amanda M. Y.
1
Connor, Gregory
1
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
CORE discussion paper : DP
Finance research letters
161
International review of financial analysis
128
Journal of banking & finance
110
International review of economics & finance : IREF
107
Journal of empirical finance
104
Energy economics
96
The North American journal of economics and finance : a journal of financial economics studies
95
Journal of financial economics
82
Applied financial economics
78
Research in international business and finance
78
Applied economics
77
NBER working paper series
72
Economic modelling
71
Journal of international financial markets, institutions & money
69
Working paper / National Bureau of Economic Research, Inc.
64
Pacific-Basin finance journal
63
Applied economics letters
60
Journal of risk and financial management : JRFM
57
NBER Working Paper
56
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
International journal of forecasting
50
The European journal of finance
49
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
Journal of forecasting
41
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
38
Economics letters
37
Working paper
36
International journal of finance & economics : IJFE
35
Journal of international money and finance
35
Investment management and financial innovations
34
Review of quantitative finance and accounting
33
Journal of financial markets
32
The journal of finance : the journal of the American Finance Association
32
The journal of futures markets
32
Research paper series / Swiss Finance Institute
31
Global finance journal
30
Journal of financial econometrics
30
Management science : journal of the Institute for Operations Research and the Management Sciences
30
Discussion paper / Tinbergen Institute
29
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ECONIS (ZBW)
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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
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:
3
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:
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
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:
6
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
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
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
9
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:
10
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
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