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~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Kapitaleinkommen"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Kapitaleinkommen
Option pricing theory
Stochastic process
Volatility
25
Volatilität
25
Theorie
13
Theory
13
ARCH model
12
ARCH-Modell
12
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10
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realized volatility
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stochastic volatility
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Ahoniemi, Katja
1
Barra, István
1
Barunik, Jozef
1
Borowska, Agnieszka
1
Caldeira, João F.
1
Chan, Joshua
1
Fuertes, Ana María
1
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Ghysels, Eric
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Santos, André A. P.
1
Straub, German
1
Trapin, Luca
1
Voev, Valeri
1
Wu, Liuren
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
187
Quantitative finance
123
The North American journal of economics and finance : a journal of financial economics studies
116
International review of economics & finance : IREF
103
International review of financial analysis
102
Journal of econometrics
102
Energy economics
93
Journal of banking & finance
93
Applied economics
84
Journal of empirical finance
73
Economic modelling
68
International journal of theoretical and applied finance
62
Research in international business and finance
62
Pacific-Basin finance journal
55
Journal of financial economics
52
Computational economics
50
International journal of financial engineering
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
48
Economics letters
46
International journal of forecasting
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
45
Journal of international financial markets, institutions & money
44
Journal of economic dynamics & control
43
The European journal of finance
40
Applied economics letters
39
Journal of financial econometrics
39
The journal of computational finance
39
European journal of operational research : EJOR
37
The journal of futures markets
36
Management science : journal of the Institute for Operations Research and the Management Sciences
34
Journal of mathematical finance
33
Journal of financial markets
31
International journal of finance & economics : IJFE
30
Journal of forecasting
30
Applied mathematical finance
26
Econometric reviews
26
Review of quantitative finance and accounting
26
Emerging markets, finance and trade : EMFT
25
Discussion paper / Centre for Economic Policy Research
24
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Bayesian dynamic modeling of high-frequency integer price changes
Barra, István
;
Borowska, Agnieszka
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
Saved in:
3
Fractionally integrated COGARCH processes
Haug, Stephan
;
Klüppelberg, Claudia
;
Straub, German
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 599-628
Persistent link: https://www.econbiz.de/10011988000
Saved in:
4
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
5
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
6
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
On the observed-data deviance information criterion for volatility modeling
Chan, Joshua
;
Grant, Angelia L.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 772-802
Persistent link: https://www.econbiz.de/10011623867
Saved in:
9
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
10
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
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