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isPartOf:"Journal of econometrics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~subject:"Exchange rate"
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Search: subject_exact:"Volatility"
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Exchange rate
Volatility
352
Volatilität
352
Theorie
151
Theory
151
Estimation theory
122
Schätztheorie
122
Estimation
120
Schätzung
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Stochastic process
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Härdle, Wolfgang
4
Bollerslev, Tim
2
Cybakov, Aleksandr B.
2
Harvey, Andrew C.
2
Herwartz, Helmut
2
Spokojnyj, Vladimir G.
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Teyssière, Gilles
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Yang, Lijian
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Busch, Thomas
1
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1
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Feldmann, David
1
Fengler, Matthias R.
1
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1
Gallant, A. Ronald
1
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1
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1
Hong, Yongmiao
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Taamouti, Abderrahim
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Thompson, Samuel B.
1
Wang, Xiaohu
1
Wright, Jonathan H.
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1
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Journal of international money and finance
82
NBER working paper series
60
Applied economics
58
NBER Working Paper
56
Journal of international financial markets, institutions & money
51
The North American journal of economics and finance : a journal of financial economics studies
48
Economic modelling
47
Working paper / National Bureau of Economic Research, Inc.
45
International review of economics & finance : IREF
44
International journal of finance & economics : IJFE
40
Applied economics letters
37
CESifo working papers
37
International journal of economics and financial issues : IJEFI
34
Applied financial economics
33
International Journal of Energy Economics and Policy : IJEEP
33
Discussion paper / Centre for Economic Policy Research
32
Finance research letters
32
Energy economics
30
IMF working papers
30
Research in international business and finance
29
Working paper
27
Economics letters
26
Journal of banking & finance
24
International review of financial analysis
23
IMF working paper
21
Journal of empirical finance
21
International economic journal
20
Open economies review
20
International journal of economics and finance
19
The empirical economics letters : a monthly international journal of economics
19
Cogent economics & finance
18
Discussion paper / Tinbergen Institute
18
Journal of risk and financial management : JRFM
18
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
18
International journal of forecasting
17
The European journal of finance
16
Global business review
15
Global finance journal
15
Journal of international economics
15
Journal of multinational financial management
15
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ECONIS (ZBW)
21
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1
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:
2
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:
3
Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim
;
Bouezmarni, Taoufik
;
El Ghouch, Anouar
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
Saved in:
4
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 48-57
Persistent link: https://www.econbiz.de/10009242554
Saved in:
5
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
6
A semiparametric GARCH model for foreign exchange volatility
Yang, Lijian
- In:
Journal of econometrics
130
(
2006
)
2
,
pp. 365-384
Persistent link: https://www.econbiz.de/10003277973
Saved in:
7
Volatility comovement: a multifrequency approach
Calvet, Laurent E.
;
Fisher, Adlai
;
Thompson, Samuel B.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 179-215
Persistent link: https://www.econbiz.de/10003298573
Saved in:
8
Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
Osiewalski, Jacek
;
Pipień, Mateusz
- In:
Journal of econometrics
123
(
2004
)
2
,
pp. 371-391
Persistent link: https://www.econbiz.de/10002361773
Saved in:
9
Statistical inference for time-inhomogeneous volatility models
Mercurio, Danilo
;
Spokojnyj, Vladimir G.
-
2002
Persistent link: https://www.econbiz.de/10001697768
Saved in:
10
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
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