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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"Estimation"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Estimation
Stochastischer Prozess
Volatility
480
Volatilität
480
Theorie
200
Theory
200
Stochastic process
172
Estimation theory
139
Schätztheorie
139
Schätzung
138
Time series analysis
135
Zeitreihenanalyse
135
ARCH model
94
ARCH-Modell
94
Capital income
94
Kapitaleinkommen
94
Option pricing theory
92
Optionspreistheorie
92
Börsenkurs
83
Share price
83
Forecasting model
67
Prognoseverfahren
67
Nichtparametrisches Verfahren
51
Nonparametric statistics
51
Market microstructure
46
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46
Stochastic volatility
46
USA
45
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Statistical distribution
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Statistische Verteilung
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Bayes-Statistik
36
Bayesian inference
36
Multivariate Analyse
36
Multivariate analysis
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35
Optionsgeschäft
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Derivat
33
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33
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248
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Todorov, Viktor
15
McAleer, Michael
13
Asai, Manabu
9
Bollerslev, Tim
9
Tauchen, George Eugene
9
Andersen, Torben
6
Aït-Sahalia, Yacine
6
Xiu, Dacheng
6
Kim, Donggyu
5
Li, Jia
5
Yu, Jun
5
Chan, Joshua
4
Francq, Christian
4
Zakoïan, Jean-Michel
4
Boswijk, Herman Peter
3
Carriero, Andrea
3
Cavaliere, Giuseppe
3
Clark, Todd E.
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Maasoumi, Esfandiar
3
Marcellino, Massimiliano
3
Patton, Andrew J.
3
Poon, Aubrey
3
Renault, Eric
3
Shephard, Neil G.
3
Taylor, Robert
3
Teräsvirta, Timo
3
Wang, Yazhen
3
Amado, Cristina
2
Amengual, Dante
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Brownlees, Christian
2
Caporin, Massimiliano
2
Chang, Chia-Lin
2
Chen, Qiang
2
Chib, Siddhartha
2
Christensen, Kim
2
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Journal of econometrics
Econometric reviews
Review of derivatives research
Energy economics
164
Finance research letters
158
International journal of theoretical and applied finance
145
Applied economics
135
Economic modelling
128
International review of economics & finance : IREF
124
Quantitative finance
117
The North American journal of economics and finance : a journal of financial economics studies
117
International review of financial analysis
114
Journal of banking & finance
107
Journal of empirical finance
100
Discussion paper / Tinbergen Institute
97
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
95
Applied financial economics
90
NBER working paper series
89
Working paper
88
Applied economics letters
87
The journal of futures markets
86
Working paper / National Bureau of Economic Research, Inc.
86
NBER Working Paper
79
Economics letters
74
Research in international business and finance
74
Journal of international money and finance
71
Journal of economic dynamics & control
69
Journal of international financial markets, institutions & money
69
Journal of risk and financial management : JRFM
68
Applied mathematical finance
66
The European journal of finance
61
Computational economics
60
Journal of financial econometrics : official journal of the Society for Financial Econometrics
59
CESifo working papers
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
The journal of computational finance
54
International journal of finance & economics : IJFE
52
International journal of forecasting
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
52
Discussion paper / Centre for Economic Policy Research
50
Journal of mathematical finance
50
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ECONIS (ZBW)
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1
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
2
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:
3
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
Saved in:
4
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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