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isPartOf:"Journal of econometrics"
~person:"Meddahi, Nour"
~person:"Quaedvlieg, Rogier"
~person:"Zhou, Hao"
~subject:"Korrelation"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Korrelation
Volatility
Zeitreihenanalyse
Volatilität
16
Capital income
6
Forecasting model
6
Kapitaleinkommen
6
Prognoseverfahren
6
Estimation
5
Schätzung
5
ARCH model
4
ARCH-Modell
4
Estimation theory
4
Schätztheorie
4
Time series analysis
4
High-frequency data
3
Market microstructure
3
Marktmikrostruktur
3
Risikoprämie
3
Risk premium
3
Stochastic process
3
Stochastischer Prozess
3
Theorie
3
Theory
3
Measurement
2
Messung
2
Noise Trading
2
Noise trading
2
Realized volatility
2
Statistical distribution
2
Statistische Verteilung
2
USA
2
United States
2
"Structural" factor GARCH
1
Aggregation
1
Analysis of variance
1
Asymmetric dependence
1
Ausreißer
1
Autoregression
1
Bias
1
Black-Scholes model
1
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Article
15
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1
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Article in journal
16
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16
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1
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1
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1
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1
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English
16
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Meddahi, Nour
Quaedvlieg, Rogier
Zhou, Hao
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
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
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
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance and economics discussion series
9
CREATES research paper
4
IDEI working papers
3
Staff working paper / Bank of Canada
3
Working papers / TSE : WP
3
Cahier / Département de Sciences Économiques, Université de Montréal
2
ERID working paper
2
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 banking & finance
2
Pacific-Basin finance journal
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
2
The review of financial studies
2
AFA 2013 San Diego Meetings Paper
1
Annual review of financial economics
1
Asian Finance Association (AsianFA) 2014 Conference Paper
1
BIS working papers
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion paper / Center for Economic Research, Tilburg University
1
Econometric reviews
1
Econometric theory
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
1
International economic review
1
Journal of applied econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
PBCSF-NIFR Research Paper
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
The Journal of finance and data science : JFDS
1
The review of economic studies : RES
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ECONIS (ZBW)
16
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1
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:
2
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
3
Volatility regressions with fat tails
Kim, Jihyun
;
Meddahi, Nour
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 690-713
Persistent link: https://www.econbiz.de/10012483177
Saved in:
4
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
5
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
6
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
7
Bootstrapping realized multivariate volatility measures
Dovonon, Prosper
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Journal of econometrics
172
(
2013
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
Saved in:
8
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
9
Realized volatility forecasting and market microstructure noise
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
Saved in:
10
Box-Cox transforms for realized volatility
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 129-144
Persistent link: https://www.econbiz.de/10009242530
Saved in:
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