//--> //--> //--> //-->
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:"Clark, Todd E."
~person:"Francq, Christian"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~type_genre:"Article in journal"
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
20
Volatilität
20
Estimation theory
10
Schätztheorie
10
Börsenkurs
6
Share price
6
Stochastic process
6
Stochastischer Prozess
6
ARCH model
5
ARCH-Modell
5
Capital income
5
Estimation
5
Forecasting model
5
Kapitaleinkommen
5
Market microstructure
5
Marktmikrostruktur
5
Prognoseverfahren
5
Schätzung
5
Time series analysis
5
Zeitreihenanalyse
5
Microstructure
4
Theorie
4
Theory
4
VAR model
4
VAR-Modell
4
Bayes-Statistik
3
Bayesian inference
3
CAPM
3
Consistency
3
Discrete observation
3
Leverage effect
3
Noise Trading
3
Noise trading
3
Regression analysis
3
Regressionsanalyse
3
Robust estimation
3
Asynchronous times
2
Efficiency
2
Equivalent martingale measure
2
Irregular times
2
more ...
less ...
Online availability
All
Undetermined
11
Type of publication
All
Article
19
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
Aufsatz in Zeitschrift
20
Collection of articles of several authors
1
Conference proceedings
1
Konferenzschrift
1
Sammelwerk
1
Language
All
English
20
Author
All
Clark, Todd E.
Francq, Christian
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
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
Asai, Manabu
5
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
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
Chang, Chia-Lin
3
Christensen, Kim
3
more ...
less ...
Institution
All
Conference on Realized Volatility <2006, Montréal>
1
Published in...
All
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Econometric theory
3
Journal of applied econometrics
2
Annals of economics and statistics
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic review
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial economics
1
Journal of money, credit and banking : JMCB
1
Journal of risk and financial management : JRFM
1
Journal of the American Statistical Association : JASA
1
Journal of time series econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The review of economics and statistics
1
The review of financial studies
1
more ...
less ...
Source
All
ECONIS (ZBW)
20
Showing
1
-
10
of
20
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
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
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->