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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"ARCH-Modell"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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ARCH-Modell
Stochastischer Prozess
Volatility
480
Volatilität
480
Theorie
200
Theory
200
Stochastic process
172
Estimation theory
139
Schätztheorie
139
Estimation
138
Schätzung
138
Time series analysis
135
Zeitreihenanalyse
135
ARCH model
94
Capital income
94
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94
Option pricing theory
92
Optionspreistheorie
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Börsenkurs
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Share price
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67
Prognoseverfahren
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Nichtparametrisches Verfahren
51
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46
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McAleer, Michael
13
Todorov, Viktor
11
Asai, Manabu
9
Tauchen, George Eugene
8
Bollerslev, Tim
7
Yu, Jun
5
Andersen, Torben
4
Chan, Joshua
4
Francq, Christian
4
Kim, Donggyu
4
Shephard, Neil G.
4
Xiu, Dacheng
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Caporin, Massimiliano
3
Carriero, Andrea
3
Cavaliere, Giuseppe
3
Clark, Todd E.
3
Gouriéroux, Christian
3
Hallin, Marc
3
Li, Jia
3
Li, Wai Keung
3
Linton, Oliver
3
Maheu, John M.
3
Marcellino, Massimiliano
3
Paolella, Marc S.
3
Poon, Aubrey
3
Renault, Eric
3
Teräsvirta, Timo
3
Wang, Yazhen
3
Zhu, Ke
3
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2
Barigozzi, Matteo
2
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2
Bordignon, Silvano
2
Boswijk, Herman Peter
2
Chang, Chia-Lin
2
Chen, Qiang
2
Chib, Siddhartha
2
Corsi, Fulvio
2
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Journal of econometrics
Econometric reviews
Review of derivatives research
Energy economics
232
Finance research letters
159
International journal of theoretical and applied finance
138
Economic modelling
128
The North American journal of economics and finance : a journal of financial economics studies
123
Applied economics
120
International review of financial analysis
113
Journal of empirical finance
112
Quantitative finance
101
International review of economics & finance : IREF
99
Discussion paper / Tinbergen Institute
94
Research in international business and finance
94
Journal of banking & finance
87
Journal of risk and financial management : JRFM
86
Economics letters
76
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
76
Applied financial economics
74
Journal of international financial markets, institutions & money
74
Working paper
70
International journal of forecasting
69
The journal of futures markets
66
Journal of financial econometrics : official journal of the Society for Financial Econometrics
65
Journal of forecasting
64
Applied mathematical finance
63
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
62
Applied economics letters
60
Computational economics
59
Journal of economic dynamics & control
55
The European journal of finance
52
Journal of mathematical finance
50
The journal of computational finance
50
International Journal of Energy Economics and Policy : IJEEP
49
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Econometric Institute research papers
47
Finance and stochastics
47
Risks : open access journal
45
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
45
European journal of operational research : EJOR
44
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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