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isPartOf:"Journal of econometrics"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Clark, Todd E."
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Shephard, Neil G."
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Search: subject_exact:"Volatility"
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Volatility
21
Volatilität
21
Estimation theory
8
Schätztheorie
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Capital income
7
Kapitaleinkommen
7
Stochastic process
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Clark, Todd E.
Ghysels, Eric
Mykland, Per A.
Shephard, Neil G.
Bollerslev, Tim
22
Todorov, Viktor
21
Tauchen, George Eugene
17
Andersen, Torben
15
Aït-Sahalia, Yacine
11
Li, Jia
10
Meddahi, Nour
10
McAleer, Michael
9
Xiu, Dacheng
9
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Li, Yingying
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
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Gonçalves, Sílvia
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Jasiak, Joann
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Linton, Oliver
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Maheu, John M.
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Park, Joon Y.
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Rahbek, Anders
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Renault, Eric
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Renò, Roberto
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Yu, Jun
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Zakoïan, Jean-Michel
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Zhang, Lan
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
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Chang, Chia-Lin
3
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Economics discussion papers
9
Federal Reserve Bank of Cleveland working paper series
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ECONIS (ZBW)
21
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1
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
2
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:
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
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
5
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:
6
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:
7
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
Saved in:
8
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
9
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
10
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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