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isPartOf:"Journal of econometrics"
~person:"Martin, Gael M."
~person:"Park, Joon Y."
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Spot interest rate"
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Search: subject_exact:"Volatility"
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Prognoseverfahren
Schätzung
Spot interest rate
Volatility
6
Volatilität
6
Estimation theory
4
Schätztheorie
4
Estimation
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Stochastic process
3
Stochastischer Prozess
3
Börsenkurs
2
Forecasting model
2
Option pricing theory
2
Optionspreistheorie
2
Regression analysis
2
Regressionsanalyse
2
Share price
2
Time series analysis
2
Zeitreihenanalyse
2
Asymptotics
1
Bayes-Statistik
1
Bayesian inference
1
Bivariate jump diffusion model
1
CAPM
1
Capital income
1
Cauchy estimator
1
Diffusion
1
Diffusive and jump volatility
1
Drift
1
Heteroscedasticity
1
Heteroskedastizität
1
High frequency observation
1
Information criterion
1
Interest rate
1
Jump diffusion
1
Kapitaleinkommen
1
Likelihood ratio
1
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1
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Martin, Gael M.
Park, Joon Y.
Todorov, Viktor
13
Bollerslev, Tim
11
Tauchen, George Eugene
8
Andersen, Torben
6
Li, Jia
6
Patton, Andrew J.
6
Kim, Donggyu
5
Aït-Sahalia, Yacine
4
Barigozzi, Matteo
4
Hallin, Marc
4
Zhou, Hao
4
Francq, Christian
3
Ghysels, Eric
3
McAleer, Michael
3
Quaedvlieg, Rogier
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Asai, Manabu
2
Bibinger, Markus
2
Calvet, Laurent E.
2
Christensen, Kim
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Fisher, Adlai
2
Forbes, Catherine Scipione
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Harvey, Andrew C.
2
Kong, Xin-Bing
2
Li, Yingying
2
Maneesoonthorn, Worapree
2
Meddahi, Nour
2
Nielsen, Morten Ørregaard
2
Paolella, Marc S.
2
Polak, Pawel
2
Poon, Aubrey
2
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Journal of econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Journal of applied econometrics
2
Quantitative economics : QE ; journal of the Econometric Society
2
Econometric theory
1
Economics letters
1
Journal of international economics
1
Working papers / TSE : WP
1
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ECONIS (ZBW)
5
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1
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
2
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
3
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
Saved in:
4
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik
;
Jeong, Minsoo
;
Park, Joon Y.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
Saved in:
5
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
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