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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatilität
Volatility
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
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
Marktmikrostruktur
46
Stochastic volatility
46
USA
45
United States
45
Statistical distribution
41
Statistische Verteilung
41
Bayes-Statistik
36
Bayesian inference
36
Multivariate Analyse
36
Multivariate analysis
36
Option trading
35
Optionsgeschäft
35
Derivat
33
Derivative
33
CAPM
32
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Undetermined
225
Free
9
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Article
476
Book / Working Paper
4
Type of publication (narrower categories)
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Article in journal
479
Aufsatz in Zeitschrift
479
Collection of articles of several authors
3
Sammelwerk
3
Bibliografie enthalten
2
Bibliography included
2
Conference proceedings
1
Konferenzschrift
1
Systematic review
1
Übersichtsarbeit
1
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English
480
Author
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McAleer, Michael
22
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Asai, Manabu
11
Aït-Sahalia, Yacine
11
Cavaliere, Giuseppe
10
Meddahi, Nour
9
Taylor, Robert
9
Xiu, Dacheng
8
Ghysels, Eric
7
Gouriéroux, Christian
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Kim, Donggyu
6
Maasoumi, Esfandiar
6
Shephard, Neil G.
6
Yu, Jun
6
Boswijk, Herman Peter
5
Gallant, A. Ronald
5
Hallin, Marc
5
Jasiak, Joann
5
Li, Yingying
5
Renault, Eric
5
Zhou, Hao
5
Bandi, Federico M.
4
Barigozzi, Matteo
4
Caporin, Massimiliano
4
Chan, Joshua
4
Engle, Robert F.
4
Francq, Christian
4
Gonçalves, Sílvia
4
Koopman, Siem Jan
4
Linton, Oliver
4
Maheu, John M.
4
Medeiros, Marcelo C.
4
Park, Joon Y.
4
Rahbek, Anders
4
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Institution
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
All
Journal of econometrics
Econometric reviews
Review of derivatives research
Energy economics
610
Finance research letters
571
NBER working paper series
485
Working paper / National Bureau of Economic Research, Inc.
467
International review of financial analysis
419
NBER Working Paper
416
Applied economics
378
Journal of banking & finance
374
International review of economics & finance : IREF
368
The journal of futures markets
360
Economic modelling
339
The North American journal of economics and finance : a journal of financial economics studies
324
Applied financial economics
265
Journal of empirical finance
264
Applied economics letters
261
Research in international business and finance
253
Economics letters
246
International journal of theoretical and applied finance
245
Working paper
242
Discussion paper / Centre for Economic Policy Research
240
Journal of international financial markets, institutions & money
239
Journal of international money and finance
230
Journal of risk and financial management : JRFM
197
Discussion paper / Tinbergen Institute
195
Quantitative finance
191
Journal of financial economics
184
Pacific-Basin finance journal
172
CESifo working papers
170
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
169
International Journal of Energy Economics and Policy : IJEEP
166
The European journal of finance
157
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
147
Journal of economic dynamics & control
147
International journal of finance & economics : IJFE
146
International journal of forecasting
145
Journal of forecasting
131
The review of financial studies
125
Research paper series / Swiss Finance Institute
118
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ECONIS (ZBW)
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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
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:
3
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
4
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
5
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
6
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
7
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:
8
Idiosyncratic volatility, option-based measures of informed trading, and investor attention
Mohrschladt, Hannes
;
Schneider, Judith C.
- In:
Review of derivatives research
24
(
2021
)
3
,
pp. 197-220
Persistent link: https://www.econbiz.de/10012659668
Saved in:
9
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:
10
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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