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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Prognoseverfahren"
~subject:"Statistische Verteilung"
~subject:"United States"
~type_genre:"Article in journal"
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Search: subject_exact:"Volatility"
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Prognoseverfahren
Statistische Verteilung
United States
Volatility
466
Volatilität
466
Theorie
194
Theory
194
Stochastic process
150
Stochastischer Prozess
150
Estimation
132
Schätzung
132
Estimation theory
119
Schätztheorie
119
Time series analysis
117
Zeitreihenanalyse
117
Börsenkurs
91
Share price
91
Capital income
87
Kapitaleinkommen
87
ARCH model
78
ARCH-Modell
78
Option pricing theory
74
Optionspreistheorie
74
Forecasting model
63
Stochastic volatility
56
CAPM
44
Market microstructure
42
Marktmikrostruktur
42
Nichtparametrisches Verfahren
42
Nonparametric statistics
42
Statistical distribution
39
Portfolio selection
32
Portfolio-Management
32
USA
30
Bayes-Statistik
28
Bayesian inference
28
Markov chain
26
Markov-Kette
26
Noise Trading
26
Noise trading
26
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Online availability
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Undetermined
65
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Article
125
Type of publication (narrower categories)
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Article in journal
Aufsatz in Zeitschrift
125
Language
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English
125
Author
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Bollerslev, Tim
11
Patton, Andrew J.
5
Zhou, Hao
5
Andersen, Torben
4
Ghysels, Eric
4
Todorov, Viktor
4
Engle, Robert F.
3
Hallin, Marc
3
Kim, Donggyu
3
McAleer, Michael
3
Meddahi, Nour
3
Swanson, Norman R.
3
Barigozzi, Matteo
2
Bekaert, Geert
2
Christensen, Bent Jesper
2
Corradi, Valentina
2
Corsi, Fulvio
2
Fan, Jianqing
2
Francq, Christian
2
Harvey, Andrew C.
2
Li, Jia
2
Nielsen, Morten Ørregaard
2
Paolella, Marc S.
2
Polak, Pawel
2
Quaedvlieg, Rogier
2
Renò, Roberto
2
Valkanov, Rossen I.
2
Xiu, Dacheng
2
Zakoïan, Jean-Michel
2
Aguilar, Mike
1
Andreou, Elena
1
Ang, Andrew
1
Asai, Manabu
1
Augustyniak, Maciej
1
Aït-Sahalia, Yacine
1
Badescu, Alexandru
1
Bali, Turan G.
1
Bandi, Federico M.
1
Bansal, Ravi
1
Bates, David S.
1
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Published in...
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Journal of econometrics
Journal of economic dynamics & control
The journal of futures markets
159
Energy economics
152
Finance research letters
123
International journal of forecasting
122
Journal of forecasting
116
Journal of banking & finance
112
International review of financial analysis
111
The North American journal of economics and finance : a journal of financial economics studies
97
Journal of empirical finance
96
Economic modelling
88
Applied economics
86
The review of financial studies
85
International review of economics & finance : IREF
84
Applied financial economics
72
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
The journal of finance : the journal of the American Finance Association
61
Journal of financial economics
60
Journal of international financial markets, institutions & money
57
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
57
Applied economics letters
53
Journal of financial and quantitative analysis : JFQA
50
Economics letters
49
Journal of risk and financial management : JRFM
45
Journal of international money and finance
44
Quantitative finance
41
The European journal of finance
37
Research in international business and finance
36
Pacific-Basin finance journal
34
International journal of finance & economics : IJFE
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
The review of economics and statistics
33
Econometric reviews
32
Journal of applied econometrics
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
The journal of derivatives : the official publication of the International Association of Financial Engineers
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
29
International journal of theoretical and applied finance
28
Journal of financial econometrics
28
Computational economics
27
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ECONIS (ZBW)
125
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125
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1
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Vector autoregression models with skewness and heavy tails
Karlsson, Sune
;
Mazur, Stepan
;
Nguyen, Hoang
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478164
Saved in:
4
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
5
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
6
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
7
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
8
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:
9
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
10
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
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