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~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~subject:"Volatility"
~subject:"Wechselkurs"
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Search: subject:"VOLATILITY"
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Volatility
Wechselkurs
Volatilität
163
Time series analysis
79
Zeitreihenanalyse
79
Estimation theory
74
Schätztheorie
74
Estimation
71
Schätzung
71
Stochastic process
62
Stochastischer Prozess
62
Theorie
50
Theory
50
Börsenkurs
47
Share price
47
Capital income
44
Kapitaleinkommen
44
ARCH model
38
ARCH-Modell
38
Forecasting model
31
Prognoseverfahren
31
Stochastic volatility
30
Market microstructure
29
Marktmikrostruktur
29
Nichtparametrisches Verfahren
26
Nonparametric statistics
26
High-frequency data
24
Option pricing theory
23
Optionspreistheorie
23
Noise Trading
20
Noise trading
20
Statistical distribution
20
Statistische Verteilung
20
CAPM
18
Bayes-Statistik
16
Bayesian inference
16
Realized volatility
16
Portfolio selection
14
Portfolio-Management
14
Analysis of variance
13
Factor analysis
13
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163
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163
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163
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English
163
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Todorov, Viktor
10
Aït-Sahalia, Yacine
8
Andersen, Torben
7
Bollerslev, Tim
6
Kim, Donggyu
6
Li, Jia
6
McAleer, Michael
6
Tauchen, George Eugene
6
Xiu, Dacheng
6
Li, Yingying
5
Patton, Andrew J.
5
Asai, Manabu
4
Cavaliere, Giuseppe
4
Hallin, Marc
4
Mykland, Per A.
4
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
3
Kong, Xin-Bing
3
Marcellino, Massimiliano
3
Quaedvlieg, Rogier
3
Rahbek, Anders
3
Taylor, Robert
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Yang, Xiye
3
Zhang, Lan
3
Zhu, Ke
3
Amengual, Dante
2
Andreou, Elena
2
Caporin, Massimiliano
2
Chan, Joshua
2
Clinet, Simon
2
Dalderop, Jeroen
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Francq, Christian
2
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Published in...
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Journal of econometrics
Finance research letters
522
Energy economics
476
International review of financial analysis
305
The North American journal of economics and finance : a journal of financial economics studies
277
International review of economics & finance : IREF
273
Applied economics
239
Economic modelling
219
Discussion paper / Centre for Economic Policy Research
217
Research in international business and finance
202
Quantitative finance
171
Journal of banking & finance
150
Working paper / National Bureau of Economic Research, Inc.
143
Economics letters
137
Applied economics letters
128
Journal of empirical finance
125
Journal of international financial markets, institutions & money
123
Pacific-Basin finance journal
120
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
113
Journal of international money and finance
106
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
101
The journal of futures markets
99
International journal of forecasting
98
Journal of financial economics
93
Computational economics
91
Emerging markets, finance and trade : EMFT
90
International journal of finance & economics : IJFE
79
Journal of economic dynamics & control
77
Discussion papers / CEPR
76
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
The European journal of finance
68
International journal of theoretical and applied finance
67
Physica A: Statistical Mechanics and its Applications
67
Journal of financial econometrics
63
Journal of forecasting
61
International journal of financial engineering
58
Journal of financial markets
58
Management science : journal of the Institute for Operations Research and the Management Sciences
55
Global finance journal
53
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
51
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ECONIS (ZBW)
163
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1
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163
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1
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:
2
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
Saved in:
3
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:
4
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
5
Realized matrix-exponential stochastic
volatility
with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
6
Volatility
of
volatility
: estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
7
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
8
Comparing stochastic
volatility
specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
9
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:
10
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:
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