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subject:"Schock"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~source:"econis"
~subject:"Statistical distribution"
~type_genre:"Article in journal"
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Schock
Volatilität
Statistical distribution
Estimation
77
Schätzung
77
Theorie
39
Theory
39
Volatility
34
Capital income
30
Kapitaleinkommen
30
Börsenkurs
28
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28
ARCH model
23
ARCH-Modell
23
Forecasting model
23
Prognoseverfahren
23
Time series analysis
17
Zeitreihenanalyse
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Estimation theory
15
Schätztheorie
15
Risikoprämie
12
Risk premium
12
Risikomaß
11
Risk measure
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Stochastic process
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Statistische Verteilung
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Regressionsanalyse
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CAPM
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Garcia, René
5
Almeida, Caio
3
Ardison, Kym
3
Vicente, Jose
3
Dobrev, Dobrislav
2
Ghysels, Eric
2
Okou, Cédric
2
Rodrigues, Paulo M. M.
2
Schaumburg, Ernst
2
Ahoniemi, Katja
1
Asai, Manabu
1
Badescu, Alexandru
1
Bali, Turan G.
1
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1
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1
Barndorff-Nielsen, Ole E.
1
Barunik, Jozef
1
Bos, Charles S.
1
Caldeira, João F.
1
Camponovo, Lorenzo
1
Caporin, Massimiliano
1
Cui, Zhenyu
1
Dahlhaus, Rainer
1
Dijk, Dick van
1
Dufour, Jean-Marie
1
Feunou, Bruno
1
Francq, Christian
1
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Gagliardini, Patrick
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1
Hassler, Uwe
1
Hautsch, Nikolaus
1
Horváth, Lajos
1
Hounyo, Ulrich
1
Jacobs, Kris
1
Jacquier, Eric
1
Jahan-Parvar, Mohammad R.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Applied economics
199
Economic modelling
178
Energy economics
170
International review of economics & finance : IREF
136
Finance research letters
133
Journal of econometrics
128
The North American journal of economics and finance : a journal of financial economics studies
115
International review of financial analysis
111
Applied economics letters
109
Economics letters
107
Journal of international money and finance
105
Journal of banking & finance
103
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Journal of empirical finance
87
Applied financial economics
85
Journal of international financial markets, institutions & money
76
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
75
Research in international business and finance
73
Journal of economic dynamics & control
72
The journal of futures markets
69
Journal of risk and financial management : JRFM
63
Journal of macroeconomics
60
International journal of forecasting
56
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
International journal of finance & economics : IJFE
55
The European journal of finance
54
Macroeconomic dynamics
52
Journal of monetary economics
47
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
47
Journal of international economics
46
Journal of financial economics
45
International Journal of Energy Economics and Policy : IJEEP
41
Journal of applied econometrics
41
Journal of money, credit and banking : JMCB
40
Pacific-Basin finance journal
37
Quantitative finance
37
International journal of economics and finance
35
Empirical economics : a quarterly journal of the Institute for Advanced Studies
34
Journal of forecasting
34
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21
The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
Saved in:
22
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
23
Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus
;
Malec, Peter
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 89-121
Persistent link: https://www.econbiz.de/10010233604
Saved in:
24
Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi
;
Nelson, Charles R.
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
Saved in:
25
Volatility threshold dynamic conditional correlations : an international analysis
Kasch-Haroutounian, Maria
;
Caporin, Massimiliano
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
4
,
pp. 706-742
Persistent link: https://www.econbiz.de/10010233862
Saved in:
26
Stochastic volatility of volatility and variance risk premia
Barndorff-Nielsen, Ole E.
;
Veraart, Almut E. D.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10009708931
Saved in:
27
GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji
;
Zhang, Jin E.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
3
,
pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
Saved in:
28
Asymmetry and long memory in volatility modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
Saved in:
29
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
30
Measuring high-frequency causality between returns, realized volatility, and implied volatility
Dufour, Jean-Marie
;
Garcia, René
;
Taamouti, Abderrahim
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 124-163
Persistent link: https://www.econbiz.de/10009519709
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