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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:"Estimation theory"
~subject:"Financial market"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Volatility"
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ARCH-Modell
Estimation theory
Financial market
Statistische Verteilung
Volatility
493
Volatilität
490
Theorie
148
Theory
148
Estimation
141
Schätzung
141
Börsenkurs
127
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
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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
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29
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29
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English
235
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Todorov, Viktor
12
Bollerslev, Tim
9
Tauchen, George Eugene
9
Andersen, Torben
7
Li, Jia
6
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Li, Yingying
5
Meddahi, Nour
5
Xiu, Dacheng
5
Barigozzi, Matteo
4
Francq, Christian
4
Hallin, Marc
4
Mykland, Per A.
4
Patton, Andrew J.
4
Zakoïan, Jean-Michel
4
Gonçalves, Sílvia
3
Gouriéroux, Christian
3
Jasiak, Joann
3
Linton, Oliver
3
McAleer, Michael
3
Paolella, Marc S.
3
Park, Joon Y.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Yang, Xiye
3
Zhang, Lan
3
Zhu, Ke
3
Amengual, Dante
2
Andreou, Elena
2
Bandi, Federico M.
2
Boswijk, Herman Peter
2
Boughrara, Adel
2
Bouri, Elie
2
Caporin, Massimiliano
2
Chang, Chia-Lin
2
Christensen, Kim
2
Clinet, Simon
2
Corradi, Valentina
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
Energy economics
231
Finance research letters
179
International review of financial analysis
141
Economic modelling
137
The North American journal of economics and finance : a journal of financial economics studies
126
Applied economics
123
Journal of empirical finance
119
International review of economics & finance : IREF
114
Research in international business and finance
108
Journal of risk and financial management : JRFM
88
Journal of international financial markets, institutions & money
85
Journal of banking & finance
81
Discussion paper / Tinbergen Institute
80
International journal of forecasting
80
Economics letters
79
Applied financial economics
71
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
Journal of forecasting
68
Applied economics letters
63
Working paper
63
Journal of financial econometrics : official journal of the Society for Financial Econometrics
58
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Working paper / National Bureau of Economic Research, Inc.
56
NBER working paper series
55
Quantitative finance
55
International journal of finance & economics : IJFE
54
The journal of futures markets
54
The European journal of finance
52
International Journal of Energy Economics and Policy : IJEEP
51
NBER Working Paper
48
Econometric Institute research papers
44
Econometric reviews
43
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
42
International journal of economics and financial issues : IJEFI
40
Journal of financial econometrics
40
Journal of international money and finance
40
Pacific-Basin finance journal
39
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ECONIS (ZBW)
235
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Information spillovers in Hong Kong REITs and related asset markets
Liu, Jian
;
Chen, Yan
;
Liao, Shufei
;
Cheng, Cheng
;
Fu, Yongge
- In:
The quarterly review of economics and finance : journal …
92
(
2023
),
pp. 215-229
Persistent link: https://www.econbiz.de/10014490283
Saved in:
9
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
10
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
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