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isPartOf:"Journal of econometrics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"Journal of international money and finance"
~person:"Ben Omrane, Walid"
~person:"Neely, Christopher J."
~person:"Tauchen, George Eugene"
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Search: subject_exact:"Volatility"
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Volatility
20
Volatilität
20
Börsenkurs
10
Share price
10
Estimation
9
Schätzung
9
High-frequency data
8
Stochastic process
8
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Ben Omrane, Walid
Neely, Christopher J.
Tauchen, George Eugene
Bollerslev, Tim
19
Todorov, Viktor
17
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Ma, Feng
6
Shephard, Neil G.
6
Caporale, Guglielmo Maria
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Kanas, Angelos
5
Li, Yingying
5
Liang, Chao
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Gallo, Giampiero M.
4
Gupta, Rangan
4
Jasiak, Joann
4
Li, Xiafei
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
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Journal of econometrics
International journal of finance & economics : IJFE
Journal of international money and finance
Working paper
15
ERID working paper
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Review / Federal Reserve Bank of St. Louis
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
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Finance and economics discussion series
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Financial management
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Global finance journal
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Handbook of research methods and applications in empirical finance
1
International journal of bonds and derivatives
1
Journal of applied econometrics
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Pacific economic review
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Quantitative economics : QE ; journal of the Econometric Society
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Research and Public Information Division working paper series
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Review of finance : journal of the European Finance Association
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
20
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20
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1
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
2
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
Boudt, Kris
;
Neely, Christopher J.
;
Sercu, Piet
; …
- In:
Journal of international money and finance
94
(
2019
),
pp. 32-47
Persistent link: https://www.econbiz.de/10012135140
Saved in:
3
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
Saved in:
4
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
5
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
8
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
9
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
10
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
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