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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric theory"
~person:"Ghysels, Eric"
~person:"Hallin, Marc"
~person:"Mykland, Per A."
~person:"Xiu, Dacheng"
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Search: subject_exact:"Volatility"
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Volatility
28
Volatilität
28
Theorie
10
Theory
10
ARCH model
8
ARCH-Modell
8
Capital income
8
Estimation theory
8
Kapitaleinkommen
8
Schätztheorie
8
Time series analysis
8
Zeitreihenanalyse
8
Estimation
7
Forecasting model
7
Prognoseverfahren
7
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7
Börsenkurs
6
Market microstructure
6
Marktmikrostruktur
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6
Factor analysis
5
Faktorenanalyse
5
Option pricing theory
5
Optionspreistheorie
5
Stochastic process
5
Stochastischer Prozess
5
CAPM
4
Microstructure
4
Noise Trading
4
Noise trading
4
Realized volatility
4
Consistency
3
Discrete observation
3
Leverage effect
3
Liquidity
3
Liquidität
3
Pre-averaging
3
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3
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27
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English
28
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Ghysels, Eric
Hallin, Marc
Mykland, Per A.
Xiu, Dacheng
Bollerslev, Tim
19
Todorov, Viktor
18
Tauchen, George Eugene
16
Andersen, Torben
13
Aït-Sahalia, Yacine
11
McAleer, Michael
10
Li, Jia
9
Meddahi, Nour
9
Cavaliere, Giuseppe
8
Taylor, Robert
8
Patton, Andrew J.
7
Kim, Donggyu
6
Li, Yingying
6
Linton, Oliver
6
Renault, Eric
6
Renò, Roberto
6
Shephard, Neil G.
6
Asai, Manabu
5
Francq, Christian
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Park, Joon Y.
5
Zhou, Hao
5
Bandi, Federico M.
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Gonçalves, Sílvia
4
Hounyo, Ulrich
4
Jasiak, Joann
4
Maheu, John M.
4
Rahbek, Anders
4
Wang, Yazhen
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Zhang, Lan
4
Calvet, Laurent E.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Econometric theory
Chicago Booth Research Paper
9
ECARES working paper
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
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
Working paper / National Bureau of Economic Research, Inc.
3
CIRANO Working Papers
2
Discussion paper / Centre for Economic Policy Research
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics Papers / Economics Group, Nuffield College, University of Oxford
2
NBER Working Paper
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
Studies in Nonlinear Dynamics & Econometrics
2
CEA_372Cass working paper series
1
CORE discussion paper : DP
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion papers / CEPR
1
Econometric Reviews
1
Econometric analysis of financial and economic time series ; part a
1
Econometric reviews
1
Economics Series Working Papers / Department of Economics, Oxford University
1
Economics working paper series
1
FEDS Working Paper
1
Fama-Miller Working Paper, Forthcoming
1
Finance and economics discussion series
1
Handbook of financial time series
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial economics
1
Journal of risk and financial management : JRFM
1
Journal of the American Statistical Association : JASA
1
Journal of time series econometrics
1
Kenan Institute of Private Enterprise Research Paper
1
Staff Report
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ECONIS (ZBW)
28
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1
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:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
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:
5
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
6
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
7
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
8
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
9
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
10
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
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