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isPartOf:"Journal of econometrics"
~isPartOf:"Energy economics"
~language:"eng"
~subject:"Stochastischer Prozess"
~subject:"USA"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
USA
Volatility
963
Volatilität
963
Oil price
388
Ölpreis
388
ARCH model
292
ARCH-Modell
292
Estimation
255
Schätzung
255
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Estimation theory
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Oil market
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Ölmarkt
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Erdöl
84
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77
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Todorov, Viktor
11
Tauchen, George Eugene
8
Bollerslev, Tim
6
McAleer, Michael
6
Andersen, Torben
4
Asai, Manabu
4
Aït-Sahalia, Yacine
3
Baum, Christopher F.
3
Carriero, Andrea
3
Chan, Joshua
3
Clark, Todd E.
3
Engle, Robert F.
3
Ghysels, Eric
3
Li, Jia
3
Ma, Feng
3
Marcellino, Massimiliano
3
Sadorsky, Perry A.
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Zerilli, Paola
3
Zhou, Hao
3
Albulescu, Claudiu Tiberiu
2
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chang, Chia-Lin
2
Chen, Liyuan
2
Chib, Siddhartha
2
Creal, Drew
2
Cross, Jamie
2
Dufour, Jean-Marie
2
Francq, Christian
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Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Gupta, Rangan
2
Ignatieva, Ekaterina
2
Jensen, Mark J.
2
Kim, Donggyu
2
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Journal of econometrics
Energy economics
Working paper / National Bureau of Economic Research, Inc.
179
The journal of futures markets
152
International journal of theoretical and applied finance
142
Journal of banking & finance
92
Quantitative finance
91
The review of financial studies
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
81
Discussion paper / Tinbergen Institute
71
Discussion paper / Centre for Economic Policy Research
69
Journal of empirical finance
68
The North American journal of economics and finance : a journal of financial economics studies
68
Working paper
68
Finance research letters
66
Applied mathematical finance
63
Applied financial economics
62
The journal of finance : the journal of the American Finance Association
61
The journal of computational finance
54
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
Econometric reviews
53
Mathematical finance : an international journal of mathematics, statistics and financial theory
53
Journal of economic dynamics & control
52
Applied economics
51
Economics letters
51
Computational economics
50
Journal of financial and quantitative analysis : JFQA
49
Journal of financial economics
48
Economic modelling
47
Finance and stochastics
47
International review of financial analysis
46
International review of economics & finance : IREF
44
Journal of financial econometrics : official journal of the Society for Financial Econometrics
43
European journal of operational research : EJOR
40
NBER working paper series
40
Research paper series / Swiss Finance Institute
40
Journal of risk and financial management : JRFM
39
Journal of mathematical finance
38
Insurance / Mathematics & economics
35
International journal of financial engineering
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ECONIS (ZBW)
201
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21
Return and volatility spillovers between Chinese and U.S. clean energy related stocks
Janda, Karel
;
Krištoufek, Ladislav
;
Zhang, Binyi
- In:
Energy economics
108
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013203260
Saved in:
22
Multivariate stochastic volatility for herding detection : evidence from the energy sector
Tsionas, Efthymios G.
;
Philippas, Dionisis
;
Philippas, …
- In:
Energy economics
109
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013283765
Saved in:
23
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
24
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
25
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:
26
Oil price uncertainty and stock price informativeness : evidence from listed U.S. companies
Zhu, Qi
;
Jin, Sisi
;
Huang, Yuxuan
;
Yan, Cheng
- In:
Energy economics
113
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013540549
Saved in:
27
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika
;
Schmeck, Maren Diane
;
Kh.Balci, Anna
- In:
Energy economics
113
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013540564
Saved in:
28
Forecasting the realized variance of oil-price returns using machine learning : is there a role for U.S. state-level uncertainty?
Çepni, Oğuzhan
;
Gupta, Rangan
;
Pienaar, Daniel
; …
- In:
Energy economics
114
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013477404
Saved in:
29
Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John
;
Frau, Carme
- In:
Energy economics
114
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
Saved in:
30
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
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