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~isPartOf:"Annals of financial economics"
~isPartOf:"Econometric reviews"
~subject:"Monte Carlo simulation"
~subject:"Time series analysis"
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Search: subject_exact:"Volatility"
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Monte Carlo simulation
Time series analysis
Volatility
127
Volatilität
127
Theorie
59
Theory
59
Stochastic process
53
Stochastischer Prozess
53
Zeitreihenanalyse
35
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McAleer, Michael
4
Cavaliere, Giuseppe
3
Taylor, Robert
3
Teräsvirta, Timo
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Asai, Manabu
2
Jawadi, Fredj
2
Koopman, Siem Jan
2
Maasoumi, Esfandiar
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1
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1
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1
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1
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1
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1
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1
Bu, Ruijun
1
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1
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Gu, Wentao
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Hillebrand, Eric
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Annals of financial economics
Econometric reviews
Journal of econometrics
115
Discussion paper / Tinbergen Institute
80
Energy economics
73
International journal of forecasting
62
Economic modelling
61
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Journal of empirical finance
53
Finance research letters
45
Economics letters
37
Applied economics
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Journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
33
International review of economics & finance : IREF
30
International review of financial analysis
30
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
Journal of risk and financial management : JRFM
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27
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26
CREATES research paper
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Computational economics
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Research in international business and finance
21
SFB 649 discussion paper
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Journal of economic dynamics & control
19
CAMA working paper series
18
Econometrics : open access journal
17
International journal of theoretical and applied finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
17
Applied economics letters
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The econometrics journal
16
Applied financial economics
15
CESifo working papers
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Econometric Institute research papers
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Journal of applied econometrics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International Journal of Energy Economics and Policy : IJEEP
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
4
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
5
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
6
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
7
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
8
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
9
Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova
;
Trede, Mark
;
Wilfling, Bernd
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 947-970
Persistent link: https://www.econbiz.de/10012295590
Saved in:
10
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
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