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isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Medeiros, Marcelo C."
~person:"Tauchen, George Eugene"
~subject:"Forecasting model"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Forecasting model
Zeitreihenanalyse
Volatility
19
Volatilität
19
Börsenkurs
10
Share price
10
Estimation
9
High-frequency data
9
Schätzung
9
Time series analysis
9
Estimation theory
8
Schätztheorie
8
Stochastic process
8
Stochastischer Prozess
8
Stochastic volatility
6
Theorie
5
Theory
5
Capital income
4
Kapitaleinkommen
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Market microstructure
3
Marktmikrostruktur
3
Martingal
3
Martingale
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Option pricing theory
3
Optionspreistheorie
3
Semimartingale
3
Specification test
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
CAPM
2
Financial market
2
Finanzmarkt
2
Induktive Statistik
2
Jumps
2
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Undetermined
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Article
10
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Aufsatz in Zeitschrift
Article in journal
10
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English
10
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Hounyo, Ulrich
Medeiros, Marcelo C.
Tauchen, George Eugene
Bollerslev, Tim
8
Todorov, Viktor
7
Andersen, Torben
6
Li, Jia
6
Patton, Andrew J.
6
Kim, Donggyu
5
Li, Yingying
5
Hallin, Marc
4
McAleer, Michael
4
Barigozzi, Matteo
3
Fan, Jianqing
3
Francq, Christian
3
Ghysels, Eric
3
Kong, Xin-Bing
3
Meddahi, Nour
3
Quaedvlieg, Rogier
3
Taylor, Robert
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Zhou, Hao
3
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Boswijk, Herman Peter
2
Carriero, Andrea
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Christensen, Kim
2
Clark, Todd E.
2
Clinet, Simon
2
Corsi, Fulvio
2
Diebold, Francis X.
2
Ergemen, Yunus Emre
2
Forbes, Catherine Scipione
2
Li, Guodong
2
Li, Wai Keung
2
Liu, Zhi
2
Maneesoonthorn, Worapree
2
Marcellino, Massimiliano
2
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Quantitative economics : QE ; journal of the Econometric Society
2
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
Journal of banking & finance
1
Journal of economic surveys
1
Journal of financial economics
1
Journal of financial markets
1
Review of finance : journal of the European Finance Association
1
Revista Brasileira de Finanças : RBFin
1
The econometrics journal
1
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ECONIS (ZBW)
10
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1
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
2
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
3
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
4
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
5
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
6
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
7
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
8
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
9
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Saved in:
10
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
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