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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of international money and finance"
~subject:"Spillover effect"
~subject:"Stochastischer Prozess"
~subject:"Welt"
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Search: subject_exact:"Volatility"
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Spillover effect
Stochastischer Prozess
Welt
Volatility
543
Volatilität
542
Theorie
189
Theory
189
Estimation
170
Schätzung
170
Estimation theory
117
Schätztheorie
117
Time series analysis
108
Zeitreihenanalyse
108
Stochastic process
106
Capital income
104
Kapitaleinkommen
104
Börsenkurs
97
Share price
97
ARCH model
93
ARCH-Modell
93
Exchange rate
91
Wechselkurs
91
World
67
Forecasting model
64
Prognoseverfahren
64
USA
50
United States
50
Market microstructure
46
Marktmikrostruktur
46
Option pricing theory
42
Optionspreistheorie
42
Aktienmarkt
40
Nichtparametrisches Verfahren
40
Nonparametric statistics
40
Stock market
40
Statistical distribution
37
Statistische Verteilung
37
Stochastic volatility
36
Risikoprämie
31
Risk premium
31
CAPM
29
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Undetermined
102
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Article
184
Book / Working Paper
1
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Article in journal
185
Aufsatz in Zeitschrift
185
Collection of articles of several authors
2
Conference proceedings
2
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2
Sammelwerk
2
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English
185
Author
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Todorov, Viktor
11
Tauchen, George Eugene
8
McAleer, Michael
6
Asai, Manabu
5
Bollerslev, Tim
5
Shephard, Neil G.
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Clark, Todd E.
3
Li, Jia
3
Marcellino, Massimiliano
3
Xiu, Dacheng
3
Yu, Jun
3
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chan, Joshua
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Jensen, Mark J.
2
Kim, Donggyu
2
Li, Jie
2
Li, Junye
2
Maheu, John M.
2
Meddahi, Nour
2
Park, Joon Y.
2
Poon, Aubrey
2
Prokopczuk, Marcel
2
Renault, Eric
2
Renò, Roberto
2
Swanson, Norman R.
2
Triantafyllou, Athanasios
2
Varneskov, Rasmus Tangsgaard
2
Wang, Bin
2
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Institution
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Conference on Realized Volatility <2006, Montréal>
1
Workshop on Developments in Exchange Rate Modelling <1997, Maastricht>>
1
Published in...
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Journal of econometrics
Journal of international money and finance
Energy economics
291
Finance research letters
171
The North American journal of economics and finance : a journal of financial economics studies
143
International journal of theoretical and applied finance
139
International review of financial analysis
135
International review of economics & finance : IREF
123
Economic modelling
118
Applied economics
110
Research in international business and finance
108
Quantitative finance
90
Journal of banking & finance
89
Discussion paper / Tinbergen Institute
87
NBER working paper series
83
Working paper
83
Journal of risk and financial management : JRFM
79
NBER Working Paper
74
International Journal of Energy Economics and Policy : IJEEP
70
Applied economics letters
68
Journal of international financial markets, institutions & money
68
Working paper / National Bureau of Economic Research, Inc.
68
Economics letters
66
The journal of futures markets
63
Applied mathematical finance
62
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Journal of empirical finance
56
CESifo working papers
53
Computational economics
52
Journal of economic dynamics & control
51
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
International journal of finance & economics : IJFE
49
The journal of computational finance
49
CAMA working paper series
47
Finance and stochastics
47
Econometric reviews
46
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
44
Econometric Institute research papers
43
Discussion paper / Centre for Economic Policy Research
42
Pacific-Basin finance journal
42
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ECONIS (ZBW)
185
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1
Quantitative easing and the spillover effects from the crude oil market to other financial markets : evidence from QE1 to QE3
Lyu, Yongjian
;
Zhang, Xinyu
;
Cao, Jin
;
Liu, Jiatao
;
Yang, Mo
- In:
Journal of international money and finance
140
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014451417
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Growth and inflation tradeoffs of dollarization : meta-analysis evidence
Koráb, Petr
;
Fidrmuc, Jarko
;
Dibooglu, Sel
- In:
Journal of international money and finance
137
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478135
Saved in:
4
Liquidity shocks and the negative premium of liquidity volatility around the world
Feng, Frank Y.
;
Kang, Wenjin
;
Zhang, Huiping
- In:
Journal of international money and finance
139
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478240
Saved in:
5
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:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
The network and own effects of global-systemically-important-bank designations
Egger, Peter
;
Li, Jie
;
Zhu, Jiaqing
- In:
Journal of international money and finance
136
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014333319
Saved in:
8
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:
9
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
10
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
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