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isPartOf:"Journal of econometrics"
~subject:"Estimation theory"
~subject:"Forecasting model"
~subject:"Option pricing theory"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Volatility"
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Estimation theory
Forecasting model
Option pricing theory
Statistische Verteilung
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
Estimation
102
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102
Time series analysis
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70
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ARCH model
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Market microstructure
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Marktmikrostruktur
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Optionspreistheorie
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34
Stochastic volatility
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196
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Todorov, Viktor
13
Bollerslev, Tim
10
Tauchen, George Eugene
10
Andersen, Torben
8
Li, Jia
7
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Patton, Andrew J.
6
Ghysels, Eric
5
Kim, Donggyu
5
Li, Yingying
5
Francq, Christian
4
Gallant, A. Ronald
4
Gouriéroux, Christian
4
Meddahi, Nour
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
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3
Hallin, Marc
3
Jasiak, Joann
3
Park, Joon Y.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zhou, Hao
3
Zhu, Ke
3
Amengual, Dante
2
Andreou, Elena
2
Bandi, Federico M.
2
Bondarenko, Oleg
2
Calvet, Laurent E.
2
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2
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2
Clark, Todd E.
2
Clinet, Simon
2
Corradi, Valentina
2
Corsi, Fulvio
2
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2
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2
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Journal of econometrics
International journal of theoretical and applied finance
168
Finance research letters
165
Energy economics
144
Quantitative finance
136
International journal of forecasting
128
Journal of banking & finance
121
Journal of forecasting
117
The journal of futures markets
111
International review of financial analysis
100
The North American journal of economics and finance : a journal of financial economics studies
99
Economic modelling
92
Journal of empirical finance
90
International review of economics & finance : IREF
87
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
86
Applied economics
80
Applied mathematical finance
76
Discussion paper / Tinbergen Institute
70
The journal of computational finance
66
Computational economics
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
63
The European journal of finance
57
Journal of economic dynamics & control
54
Journal of risk and financial management : JRFM
54
Journal of financial economics
53
Risks : open access journal
52
Economics letters
51
European journal of operational research : EJOR
51
International journal of financial engineering
51
Journal of financial econometrics : official journal of the Society for Financial Econometrics
51
Review of derivatives research
51
Journal of mathematical finance
50
Working paper
50
The journal of derivatives : the official publication of the International Association of Financial Engineers
49
Applied economics letters
47
Journal of financial econometrics
45
CREATES research paper
44
Finance and stochastics
44
Applied financial economics
43
Research paper series / Swiss Finance Institute
42
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ECONIS (ZBW)
196
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196
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date (oldest first)
1
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
2
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
3
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
4
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
5
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
6
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
7
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
8
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
9
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
10
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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