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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~isPartOf:"Finance and stochastics"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
555
Volatilität
555
Theorie
242
Theory
242
Stochastic process
219
Estimation theory
147
Schätztheorie
147
Estimation
143
Schätzung
142
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141
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132
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96
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96
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95
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86
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67
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Stochastic volatility
55
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USA
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McAleer, Michael
12
Todorov, Viktor
11
Asai, Manabu
9
Tauchen, George Eugene
8
Yu, Jun
5
Bollerslev, Tim
4
Chan, Joshua
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Fouque, Jean-Pierre
3
Gouriéroux, Christian
3
Li, Jia
3
Marcellino, Massimiliano
3
Poon, Aubrey
3
Renault, Eric
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Alòs, Elisa
2
Amengual, Dante
2
Antonelli, Fabio
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
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2
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2
Chang, Chia-Lin
2
Chib, Siddhartha
2
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2
Creal, Drew
2
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2
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2
Figueroa-López, José E.
2
Forbes, Catherine Scipione
2
Forde, Martin
2
Francq, Christian
2
Fukasawa, Masaaki
2
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2
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Journal of econometrics
Econometric reviews
Finance and stochastics
Review of derivatives research
International journal of theoretical and applied finance
135
Quantitative finance
88
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
The journal of computational finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
48
Journal of economic dynamics & control
46
European journal of operational research : EJOR
39
Journal of mathematical finance
38
Working paper
36
Finance research letters
35
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
31
The journal of futures markets
31
Journal of empirical finance
30
Research paper series / Swiss Finance Institute
29
Energy economics
28
Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
20
Economic modelling
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Journal of financial economics
18
NBER working paper series
18
The European journal of finance
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ECONIS (ZBW)
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1
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
8
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
9
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:
10
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
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