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isPartOf:"Journal of econometrics"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"ARCH-Modell"
~subject:"Börsenkurs"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
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ARCH-Modell
Börsenkurs
Estimation theory
Statistische Verteilung
Volatility
493
Volatilität
490
Theorie
148
Theory
148
Estimation
141
Schätzung
141
Share price
127
Capital income
124
Kapitaleinkommen
124
Schätztheorie
118
Stochastic process
113
Stochastischer Prozess
113
Time series analysis
108
Zeitreihenanalyse
108
ARCH model
104
Aktienmarkt
70
Stock market
70
USA
69
United States
69
Forecasting model
63
Prognoseverfahren
63
Option pricing theory
48
Optionspreistheorie
48
Market microstructure
44
Marktmikrostruktur
44
Nichtparametrisches Verfahren
43
Nonparametric statistics
43
Statistical distribution
38
Stochastic volatility
35
Exchange rate
31
Wechselkurs
31
CAPM
29
Financial market
29
Finanzmarkt
29
Correlation
27
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27
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283
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283
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English
283
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Todorov, Viktor
13
Tauchen, George Eugene
10
Bollerslev, Tim
9
Andersen, Torben
8
Li, Jia
6
Aït-Sahalia, Yacine
5
Gupta, Rangan
5
Kim, Donggyu
5
Li, Yingying
5
Meddahi, Nour
5
Xiu, Dacheng
5
Bouri, Elie
4
Francq, Christian
4
Gallant, A. Ronald
4
McAleer, Michael
4
Mykland, Per A.
4
Patton, Andrew J.
4
Zakoïan, Jean-Michel
4
Barigozzi, Matteo
3
Christensen, Kim
3
Ghysels, Eric
3
Gonçalves, Sílvia
3
Gouriéroux, Christian
3
Hallin, Marc
3
Jasiak, Joann
3
Linton, Oliver
3
Paolella, Marc S.
3
Park, Joon Y.
3
Salisu, Afees A.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zhu, Ke
3
Ahmed, Walid M. A.
2
Amengual, Dante
2
Andreou, Elena
2
Apergēs, Nikolaos
2
Bandi, Federico M.
2
Bekaert, Geert
2
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Journal of econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Finance research letters
322
Energy economics
304
International review of financial analysis
222
The North American journal of economics and finance : a journal of financial economics studies
185
Economic modelling
180
Applied economics
173
International review of economics & finance : IREF
172
Journal of empirical finance
168
Journal of banking & finance
154
Research in international business and finance
145
NBER working paper series
137
Working paper / National Bureau of Economic Research, Inc.
129
Journal of international financial markets, institutions & money
128
Applied economics letters
122
Applied financial economics
120
Journal of risk and financial management : JRFM
118
The journal of futures markets
113
Economics letters
98
NBER Working Paper
98
Working paper
96
Discussion paper / Tinbergen Institute
95
International Journal of Energy Economics and Policy : IJEEP
93
Pacific-Basin finance journal
91
Journal of financial economics
88
International journal of forecasting
85
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Journal of forecasting
80
The European journal of finance
80
Quantitative finance
74
International journal of finance & economics : IJFE
70
Journal of financial econometrics : official journal of the Society for Financial Econometrics
68
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
64
Cogent economics & finance
61
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
59
Review of quantitative finance and accounting
59
CESifo working papers
57
International journal of economics and financial issues : IJEFI
57
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ECONIS (ZBW)
283
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283
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
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:
5
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:
6
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
7
On the predictive ability of conditional market skewness
Serna, Gregorio
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
Saved in:
8
Firm-level business uncertainty and the predictability of the aggregate US stock market volatility during the COVID-19 pandemic
Demirer, Rıza
;
Gupta, Rangan
;
Salisu, Afees A.
;
Van …
- In:
The quarterly review of economics and finance : journal …
88
(
2023
),
pp. 295-302
Persistent link: https://www.econbiz.de/10014428071
Saved in:
9
Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.
;
Gupta, Rangan
;
Bouri, Elie
- In:
The quarterly review of economics and finance : journal …
88
(
2023
),
pp. 303-314
Persistent link: https://www.econbiz.de/10014428077
Saved in:
10
The role of the COVID-19 pandemic in US market volatility : evidence from the VIX index
Apergēs, Nikolaos
;
Mustafa, Ghulam
;
Malik, Shafaq
- In:
The quarterly review of economics and finance : journal …
89
(
2023
),
pp. 27-35
Persistent link: https://www.econbiz.de/10014428131
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