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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:"Francq, Christian"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Renault, Eric"
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Search: subject_exact:"Volatility"
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Volatility
22
Volatilität
22
Estimation theory
10
Schätztheorie
10
Capital income
9
Kapitaleinkommen
9
ARCH model
7
ARCH-Modell
7
Theorie
7
Theory
7
Börsenkurs
6
Market microstructure
6
Marktmikrostruktur
6
Share price
6
Estimation
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Schätzung
5
Stochastic process
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Stochastischer Prozess
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CAPM
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Forecasting model
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Leverage effect
4
Microstructure
4
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Time series analysis
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Noise trading
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Regression analysis
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Robust estimation
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Robust statistics
3
Robustes Verfahren
3
Efficiency
2
Equivalent martingale measure
2
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2
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2
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Article
21
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Francq, Christian
Ghysels, Eric
Mykland, Per A.
Renault, Eric
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
Shephard, Neil G.
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
Gonçalves, Sílvia
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Zhang, Lan
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
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Conference on Realized Volatility <2006, Montréal>
1
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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
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Série des documents de travail / Centre de Recherche en Économie et Statistique
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
5
Econometric theory
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Working paper / National Bureau of Economic Research, Inc.
3
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2
Discussion paper / Center for Economic Research, Tilburg University
2
Discussion paper / Centre for Economic Policy Research
2
Econometric reviews
2
Handbook of financial time series
2
NBER Working Paper
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
Studies in Nonlinear Dynamics & Econometrics
2
Annals of economics and statistics
1
Annals of finance
1
CORE discussion paper : DP
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
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1
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1
Econometric Reviews
1
Econometric analysis of financial and economic time series ; part a
1
Economics Papers / Economics Group, Nuffield College, University of Oxford
1
Economics letters
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
Quantitative economics : QE ; journal of the Econometric Society
1
Staff Report
1
Staff reports / Federal Reserve Bank of New York
1
Statistical methods in finance
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ECONIS (ZBW)
22
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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
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:
3
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:
4
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
5
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:
6
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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
Saved in:
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