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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Ghysels, Eric"
~person:"Shephard, Neil G."
~person:"Todorov, Viktor"
~person:"Zhou, Hao"
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Search: subject_exact:"Volatility"
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Volatility
35
Volatilität
34
Estimation
17
Schätzung
17
Stochastic process
17
Stochastischer Prozess
17
Börsenkurs
12
Capital income
12
Estimation theory
12
Kapitaleinkommen
12
Schätztheorie
12
Share price
12
Theorie
9
Theory
9
Time series analysis
9
Zeitreihenanalyse
9
Forecasting model
7
High-frequency data
7
Prognoseverfahren
7
Option pricing theory
6
Optionspreistheorie
6
Stochastic volatility
6
Nichtparametrisches Verfahren
5
Nonparametric statistics
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ARCH model
4
ARCH-Modell
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CAPM
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Options
4
Risikoprämie
4
Risk premium
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USA
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United States
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Aktienindex
3
Beta risk
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Betafaktor
3
Induktive Statistik
3
Jumps
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3
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Undetermined
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Article
34
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English
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Ghysels, Eric
Shephard, Neil G.
Todorov, Viktor
Zhou, Hao
Bollerslev, Tim
19
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Caporin, Massimiliano
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Econometric Reviews
Economics discussion papers
9
Finance and economics discussion series
9
CREATES research paper
8
ERID working paper
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of financial economics
5
Oxford Financial Research Centre economics series
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economic Research Initiatives at Duke (ERID) Working Paper
4
Journal of applied econometrics
4
Working paper / National Bureau of Economic Research, Inc.
4
Department of Economics discussion paper series / University of Oxford
3
NBER Working Paper
3
NBER working paper series
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
3
CIRANO Working Papers
2
CREATES Research Paper
2
Discussion paper / Centre for Economic Policy Research
2
Econometric theory
2
Journal of banking & finance
2
Pacific-Basin finance journal
2
Quantitative economics : QE ; journal of the Econometric Society
2
Research paper series / Swiss Finance Institute
2
Studies in Nonlinear Dynamics & Econometrics
2
The review of financial studies
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
2
Advanced texts in econometrics
1
Advances in economics and econometrics ; Vol. 3
1
Annual review of financial economics
1
Asian Finance Association (AsianFA) 2014 Conference Paper
1
BIS working papers
1
CORE discussion paper : DP
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
Discussion paper / Tinbergen Institute
1
Discussion paper series / LSE Financial Markets Group
1
Discussion papers / CEPR
1
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ECONIS (ZBW)
34
RePEc
1
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1
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:
2
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:
3
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
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:
7
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:
8
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
9
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
10
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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