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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of forecasting"
~subject:"CAPM"
~subject:"Instrumental variables"
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Search: subject_exact:"Estimation theory"
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Volatility
CAPM
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Estimation theory
455
Schätztheorie
455
Theorie
287
Theory
287
Time series analysis
95
Zeitreihenanalyse
95
Forecasting model
81
Prognoseverfahren
81
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46
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41
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41
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Tauchen, George Eugene
3
Chamberlain, Gary
2
Li, Jia
2
Nelson, Daniel B.
2
Taylor, James W.
2
Abraham, Bovas
1
Alexander, Carol
1
Andrews, Donald W. K.
1
Andrews, Isaiah
1
Balakrishna, N.
1
Ben-Zion, Uri
1
Blanco-Fernández, Ángela
1
Caetano, Carolina
1
Chao, John C.
1
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1
Chesher, Andrew
1
Christensen, Timothy M.
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Duffie, Darrell
1
Escobar, Marcos
1
Fei, Tianlun
1
Fischer, Henning
1
Foster, Dean P.
1
Freyberger, Joachim
1
Gallant, A. Ronald
1
Gel, Yulia R.
1
Hansen, Bruce E.
1
He, Mengxi
1
Horowitz, Joel
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Hu, Yu-pin
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Hussey, Robert Miller
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Jacod, Jean
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Jeon, Jooyoung
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Ke, Tsung-han
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Kuersteiner, Guido M.
1
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1
Lazar, Emese
1
Li, Yingying
1
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1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
International review of financial analysis
Journal of forecasting
Journal of econometrics
200
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Economics letters
44
Econometric reviews
37
Econometric theory
30
The econometrics journal
29
Journal of empirical finance
26
Economic modelling
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Quantitative finance
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Finance research letters
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Journal of financial econometrics
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Journal of banking & finance
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Journal of financial economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of finance : the journal of the American Finance Association
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Econometrics : open access journal
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Quantitative economics : QE ; journal of the Econometric Society
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International journal of forecasting
14
International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
12
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10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Computational economics
9
Journal of economic dynamics & control
9
Journal of quantitative economics
9
Applied economics letters
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
International journal of financial engineering
8
Journal of mathematical finance
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Journal of applied econometrics
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Journal of econometric methods
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The journal of futures markets
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ECONIS (ZBW)
41
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1
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
2
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
Saved in:
3
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
4
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
5
Non-performing loans in the euro area : does bank market power matter?
Karadima, Maria
;
Louri, Helen
- In:
International review of financial analysis
72
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012437362
Saved in:
6
Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu
;
Zheng, Teng
- In:
International review of financial analysis
53
(
2017
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
Saved in:
7
Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Nonejad, Nima
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 718-740
Persistent link: https://www.econbiz.de/10011861413
Saved in:
8
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
9
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
10
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
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