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source:"econis"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~subject:"Estimation"
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Volatility
Estimation
Schätzung
53
Volatilität
32
Capital income
23
Kapitaleinkommen
23
Time series analysis
23
Zeitreihenanalyse
23
Estimation theory
20
Schätztheorie
20
Börsenkurs
17
Share price
17
Theorie
17
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17
ARCH model
14
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14
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9
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Risikoprämie
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Risk premium
7
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Portfolio selection
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Portfolio-Management
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Analysis of variance
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Option pricing theory
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Optionspreistheorie
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Statistical test
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Statistischer Test
5
Varianzanalyse
5
high-frequency data
5
realized volatility
5
Aktienmarkt
4
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4
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English
53
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Ghysels, Eric
2
Hansen, Peter Reinhard
2
Lucas, André
2
Sancetta, Alessio
2
Alitab, Dario
1
Andreou, Elena
1
Babii, Andrii
1
Barigozzi, Matteo
1
Barunik, Jozef
1
Baur, Dirk G.
1
Bee, Marco
1
Bekierman, Jeremias
1
Berardi, Andrea
1
Bianchi, Daniele
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Bu, Ruijun
1
Buccheri, Giuseppe
1
Bücher, Axel
1
Calzolari, Giorgio
1
Casas, Isabel
1
Cenesizoglu, Tolga
1
Chen, Jian
1
Chen, Qiang
1
Chiarella, Carlo
1
Chorro, Christophe
1
Clements, Michael P.
1
Corsi, Fulvio
1
Dimpfl, Thomas
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Ferreira, Eva
1
Francq, Christian
1
Gagliardini, Patrick
1
Gerlach, Richard
1
Golinski, Adam
1
Gong, Yuting
1
Gorgi, P.
1
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1
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1
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Journal of financial econometrics
Discussion paper series / IZA
3,011
Working paper / National Bureau of Economic Research, Inc.
2,568
NBER working paper series
2,304
NBER Working Paper
2,131
Applied economics
1,753
Discussion paper / Centre for Economic Policy Research
1,416
CESifo working papers
1,408
IZA Discussion Paper
1,275
Applied economics letters
1,173
Working paper
914
Economic modelling
832
Discussion paper
755
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
728
Economics letters
696
ZEW discussion papers
565
Energy economics
515
International review of economics & finance : IREF
496
Journal of econometrics
465
Journal of international money and finance
461
CESifo Working Paper Series
454
Applied financial economics
444
Discussion papers / CEPR
435
Finance research letters
435
Journal of banking & finance
434
Discussion papers / Deutsches Institut für Wirtschaftsforschung
427
Discussion paper / Tinbergen Institute
425
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
384
Journal of applied econometrics
362
International review of financial analysis
338
Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit
337
Kiel working paper
323
The North American journal of economics and finance : a journal of financial economics studies
307
Labour economics : official journal of the European Association of Labour Economists
306
The American economic review
301
The empirical economics letters : a monthly international journal of economics
298
The review of economics and statistics
295
Finance and economics discussion series
290
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
286
SOEP papers on multidisciplinary panel data research / German Socio-Economic Panel Study (SOEP), DIW Berlin
286
Working paper series
284
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ECONIS (ZBW)
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1
Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio
;
Schaumburg, Julia
;
Lucas, André
; …
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 335-374
Persistent link: https://www.econbiz.de/10014526325
Saved in:
2
Modeling price and variance jump clustering using the marked Hawkes process
Chen, Jian
;
Clements, Michael P.
;
Urquhart, Andrew
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 743-772
Persistent link: https://www.econbiz.de/10015045178
Saved in:
3
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
4
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
5
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
6
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
7
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
8
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
9
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
10
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
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