//--> //--> //-->
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:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Potiron, Yoann"
~person:"Renault, Eric"
~subject:"Efficiency"
~subject:"Share price"
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
| 7 applied filters
Year of publication
From:
To:
Subject
All
Efficiency
Share price
Volatility
19
Volatilität
19
Capital income
8
Kapitaleinkommen
8
Estimation theory
7
Market microstructure
7
Marktmikrostruktur
7
Schätztheorie
7
Theorie
7
Theory
7
Börsenkurs
6
Noise Trading
5
Noise trading
5
CAPM
4
Leverage effect
4
Microstructure
4
Stochastic process
4
Stochastischer Prozess
4
Time series analysis
4
Zeitreihenanalyse
4
Consistency
3
Discrete observation
3
Estimation
3
Forecasting model
3
High frequency data
3
Prognoseverfahren
3
Realized volatility
3
Robust estimation
3
Schätzung
3
ARCH model
2
ARCH-Modell
2
Asynchronous times
2
Equivalent martingale measure
2
Integrated volatility
2
Irregular times
2
Jumps
2
Liquidity
2
Liquidität
2
more ...
less ...
Online availability
All
Undetermined
6
Type of publication
All
Article
7
Type of publication (narrower categories)
All
Article in journal
7
Aufsatz in Zeitschrift
7
Language
All
English
7
Author
All
Ghysels, Eric
Mykland, Per A.
Potiron, Yoann
Renault, Eric
Tauchen, George Eugene
8
Todorov, Viktor
8
Li, Jia
5
Kim, Donggyu
4
Bollerslev, Tim
3
Li, Yingying
3
Wang, Yazhen
3
Andersen, Torben
2
Andreou, Elena
2
Aït-Sahalia, Yacine
2
Christensen, Kim
2
Clinet, Simon
2
Francq, Christian
2
Gallant, A. Ronald
2
Liesenfeld, Roman
2
McAleer, Michael
2
Xiu, Dacheng
2
Yang, Xiye
2
Zakoïan, Jean-Michel
2
Zhang, Congshan
2
Zhang, Lan
2
Ahsan, Nazmul
1
Baldovin, Fulvio
1
Bauer, Gregory H.
1
Bekaert, Geert
1
Bibinger, Markus
1
Bondarenko, Oleg
1
Boswijk, Herman Peter
1
Bouezmarni, Taoufik
1
Brunetti, Celso
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Chaker, Selma
1
Chang, Chia-Lin
1
Chen, Dachuan
1
Chen, Richard Y.
1
Chen, Rui
1
more ...
less ...
Published in...
All
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Centre for Economic Policy Research
1
Econometric analysis of financial and economic time series ; part a
1
Kenan Institute of Private Enterprise Research Paper
1
The review of economics and statistics
1
Tools and techniques
1
Working paper / Department of Economics, University of Cyprus
1
Working paper / National Bureau of Economic Research, Inc.
1
more ...
less ...
Source
All
ECONIS (ZBW)
7
Showing
1
-
7
of
7
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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:
2
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
3
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:
4
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
5
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:
6
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
7
Alternative models for stock price dynamics
Chernov, Mikhail
;
Gallant, A. Ronald
;
Ghysels, Eric
; …
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 225-257
Persistent link: https://www.econbiz.de/10001772148
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->