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source:"econis"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~subject:"Share price"
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Volatility
Share price
Estimation
51
Schätzung
51
Volatilität
31
Capital income
23
Kapitaleinkommen
23
Time series analysis
22
Zeitreihenanalyse
22
Estimation theory
19
Schätztheorie
19
Theorie
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Theory
17
Börsenkurs
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ARCH model
14
ARCH-Modell
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Stochastischer Prozess
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Risikoprämie
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Risk premium
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CAPM
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Portfolio selection
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Portfolio-Management
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Analysis of variance
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Varianzanalyse
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realized volatility
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Aktienmarkt
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Factor analysis
4
Faktorenanalyse
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Option pricing theory
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Optionspreistheorie
4
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Hansen, Peter Reinhard
2
Sancetta, Alessio
2
Alitab, Dario
1
Barigozzi, Matteo
1
Barunik, Jozef
1
Baur, Dirk G.
1
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Bu, Ruijun
1
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1
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1
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1
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1
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1
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Erdemlioglu, Deniz
1
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1
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1
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Ibrushi, Denada
1
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1
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Journal of financial econometrics
Finance research letters
206
Applied economics
181
International review of economics & finance : IREF
179
Economic modelling
165
International review of financial analysis
164
Energy economics
161
Working paper / National Bureau of Economic Research, Inc.
160
NBER working paper series
159
Applied economics letters
158
Journal of banking & finance
151
The North American journal of economics and finance : a journal of financial economics studies
144
NBER Working Paper
138
Journal of empirical finance
133
Applied financial economics
131
Journal of econometrics
119
Journal of international financial markets, institutions & money
112
Research in international business and finance
107
Journal of international money and finance
93
Discussion paper / Centre for Economic Policy Research
89
Working paper
88
CESifo working papers
85
Journal of financial economics
85
Journal of risk and financial management : JRFM
84
The journal of futures markets
84
Economics letters
79
The European journal of finance
78
International journal of finance & economics : IJFE
73
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Pacific-Basin finance journal
72
Discussion paper / Tinbergen Institute
69
International journal of economics and finance
66
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
66
Review of quantitative finance and accounting
64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
58
International journal of economics and financial issues : IJEFI
58
Cogent economics & finance
56
International journal of forecasting
54
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
52
Management science : journal of the Institute for Operations Research and the Management Sciences
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
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1
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:
2
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:
3
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:
4
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:
5
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
Saved in:
6
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:
7
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
8
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
9
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
10
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
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