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isPartOf:"Journal of econometrics"
~isPartOf:"Documentos de Trabajo del ICAE"
~subject:"Nichtparametrisches Verfahren"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Nichtparametrisches Verfahren
Stochastischer Prozess
Volatility
328
Volatilität
321
Theorie
125
Theory
125
Estimation theory
116
Schätztheorie
116
Stochastic process
104
Estimation
102
Schätzung
102
Time series analysis
100
Zeitreihenanalyse
100
Capital income
70
Kapitaleinkommen
70
Börsenkurs
67
Share price
67
ARCH model
66
ARCH-Modell
66
Forecasting model
49
Prognoseverfahren
49
Market microstructure
41
Marktmikrostruktur
41
Nonparametric statistics
40
Option pricing theory
39
Optionspreistheorie
39
Statistical distribution
34
Statistische Verteilung
34
Stochastic volatility
34
Noise Trading
26
Noise trading
26
High-frequency data
25
CAPM
24
USA
24
United States
24
Bayes-Statistik
23
Bayesian inference
23
Bootstrap approach
18
Bootstrap-Verfahren
18
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18
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English
130
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Todorov, Viktor
13
Tauchen, George Eugene
9
Bollerslev, Tim
5
Li, Jia
5
McAleer, Michael
5
Andersen, Torben
4
Asai, Manabu
4
Aït-Sahalia, Yacine
3
Boswijk, Herman Peter
3
Carriero, Andrea
3
Christensen, Kim
3
Clark, Todd E.
3
Li, Yingying
3
Marcellino, Massimiliano
3
Renò, Roberto
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Amengual, Dante
2
Bondarenko, Oleg
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Creal, Drew
2
Dalderop, Jeroen
2
Dufour, Jean-Marie
2
Forbes, Catherine Scipione
2
Francq, Christian
2
Fusari, Nicola
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Jensen, Mark J.
2
Kim, Donggyu
2
Linton, Oliver
2
Maheu, John M.
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Park, Joon Y.
2
Podolskij, Mark
2
Poon, Aubrey
2
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Journal of econometrics
Documentos de Trabajo del ICAE
International journal of theoretical and applied finance
135
Quantitative finance
91
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
Applied mathematical finance
63
Discussion paper / Tinbergen Institute
61
The journal of computational finance
51
Computational economics
49
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Econometric reviews
48
Finance and stochastics
48
Journal of economic dynamics & control
48
European journal of operational research : EJOR
40
Finance research letters
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
40
Journal of mathematical finance
40
Energy economics
36
International journal of financial engineering
36
Journal of banking & finance
36
Journal of empirical finance
36
Working paper
36
Insurance / Mathematics & economics
35
The journal of futures markets
33
Annals of finance
32
Economics letters
32
The North American journal of economics and finance : a journal of financial economics studies
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Risks : open access journal
30
Research paper series / Swiss Finance Institute
29
CREATES research paper
26
Journal of risk and financial management : JRFM
26
Economic modelling
25
CAMA working paper series
24
Review of derivatives research
24
Applied economics
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
SFB 649 discussion paper
21
Econometrics : open access journal
20
NBER working paper series
20
The European journal of finance
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ECONIS (ZBW)
130
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130
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1
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
2
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:
3
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:
4
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:
5
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
Saved in:
6
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:
7
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:
8
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
9
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
10
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
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