//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~person:"Chang, Chia-Lin"
~person:"Clark, Todd E."
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Volatility"
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
Volatility
22
Volatilität
22
Stochastic process
9
Stochastischer Prozess
9
Capital income
7
Kapitaleinkommen
7
Theorie
7
Theory
7
Estimation theory
6
Schätztheorie
6
Börsenkurs
5
Forecasting model
5
Market microstructure
5
Marktmikrostruktur
5
Prognoseverfahren
5
Share price
5
Stochastic volatility
5
Time series analysis
5
Zeitreihenanalyse
5
Estimation
4
Microstructure
4
Schätzung
4
Bayes-Statistik
3
Bayesian inference
3
CAPM
3
Consistency
3
Discrete observation
3
Leverage effect
3
Long memory
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Noise Trading
3
Noise trading
3
Realized volatility
3
Robust estimation
3
VAR model
3
VAR-Modell
3
ARCH model
2
ARCH-Modell
2
Asymmetry
2
more ...
less ...
Online availability
All
Undetermined
14
Type of publication
All
Article
21
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
22
Aufsatz in Zeitschrift
22
Collection of articles of several authors
1
Conference proceedings
1
Konferenzschrift
1
Sammelwerk
1
Language
All
English
22
Author
All
Asai, Manabu
Chang, Chia-Lin
Clark, Todd E.
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Shephard, Neil G.
6
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Christensen, Kim
3
more ...
less ...
Institution
All
Conference on Realized Volatility <2006, Montréal>
1
Published in...
All
Journal of econometrics
Econometric Institute research papers
44
Discussion paper / Tinbergen Institute
29
Working paper
19
Federal Reserve Bank of Cleveland working paper series
9
Econometric reviews
7
Tinbergen Institute Discussion Paper
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
The North American journal of economics and finance : a journal of financial economics studies
6
Discussion papers / CEPR
5
FRB of Cleveland Working Paper
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
KIER Working Papers
5
Working Papers in Economics
5
Discussion paper / Centre for Economic Policy Research
4
Econometric Institute Research Papers
4
Energy economics
4
The North American Journal of Economics and Finance
4
Applied financial economics
3
Documentos de Trabajo del ICAE
3
International review of economics & finance : IREF
3
Journal of risk and financial management : JRFM
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
3
Working paper / National Bureau of Economic Research, Inc.
3
CIRANO Working Papers
2
Econometric theory
2
Econometrics : open access journal
2
Handbook of financial time series
2
Journal of applied econometrics
2
Journal of empirical finance
2
NBER Working Paper
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
Research working papers / Federal Reserve Bank of Kansas City
2
Studies in Nonlinear Dynamics & Econometrics
2
The econometrics journal
2
Tinbergen Institute Discussion Papers
2
Annals of financial economics
1
Applied economics
1
more ...
less ...
Source
All
ECONIS (ZBW)
22
Showing
1
-
10
of
22
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
3
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
4
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
5
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
6
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
7
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
8
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
Saved in:
9
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
10
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->