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~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Option pricing theory"
~subject:"Stochastic process"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Option pricing theory
Stochastic process
Zeitreihenanalyse
Volatility
25
Volatilität
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Theorie
13
Theory
13
ARCH model
12
ARCH-Modell
12
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realized volatility
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stochastic volatility
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Barra, István
1
Borowska, Agnieszka
1
Caldeira, João F.
1
Chan, Joshua
1
Fantazzini, Dean
1
Gagliardini, Patrick
1
Ghysels, Eric
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Moura, Guilherme Valle
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1
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1
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Smetanina, Ekaterina
1
Straub, German
1
Voev, Valeri
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
124
Quantitative finance
124
Finance research letters
83
Energy economics
68
International journal of theoretical and applied finance
62
The North American journal of economics and finance : a journal of financial economics studies
59
International journal of forecasting
56
Journal of banking & finance
56
Computational economics
55
Applied economics
54
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Economic modelling
49
International journal of financial engineering
47
Journal of empirical finance
47
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
45
International review of economics & finance : IREF
42
Economics letters
41
Journal of economic dynamics & control
39
The journal of computational finance
39
European journal of operational research : EJOR
37
Journal of financial econometrics
35
Econometric reviews
32
International review of financial analysis
31
Journal of mathematical finance
30
The journal of futures markets
28
Applied mathematical finance
26
Finance and stochastics
26
Research in international business and finance
22
Review of derivatives research
21
Applied economics letters
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The European journal of finance
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Annals of finance
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Insurance / Mathematics & economics
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Journal of forecasting
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Management science : journal of the Institute for Operations Research and the Management Sciences
18
Decisions in economics and finance : DEF ; a journal of applied mathematics
17
Journal of financial economics
16
Review of quantitative finance and accounting
16
Journal of risk
15
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
15
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1
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
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
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
7
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:
8
Component-wise representations of long-memory models and volatility prediction
Proietti, Tommaso
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 668-692
Persistent link: https://www.econbiz.de/10011623820
Saved in:
9
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
10
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
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