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~isPartOf:"Annals of financial economics"
~isPartOf:"Econometric reviews"
~subject:"Time series analysis"
~subject:"United States"
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Search: subject_exact:"Volatility"
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Time series analysis
United States
Volatility
128
Volatilität
128
Theorie
59
Theory
59
Stochastic process
53
Stochastischer Prozess
53
Zeitreihenanalyse
35
Estimation
34
Schätzung
34
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31
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31
Capital income
30
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22
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20
Multivariate Analyse
18
Multivariate analysis
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15
Option pricing theory
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Optionspreistheorie
14
Bayes-Statistik
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Bayesian inference
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Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Portfolio selection
11
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McAleer, Michael
5
Asai, Manabu
3
Cavaliere, Giuseppe
3
Taylor, Robert
3
Teräsvirta, Timo
3
Bordignon, Silvano
2
Gupta, Rangan
2
Jawadi, Fredj
2
Maasoumi, Esfandiar
2
Phillips, Peter C. B.
2
Amado, Cristina
1
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1
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1
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1
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1
Bermudez, P. de Zea
1
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1
Brechmann, E. C.
1
Bu, Ruijun
1
Cai, Yuzhi
1
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1
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Catani, Paul
1
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Dimitrakopoulos, Stefanos
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Frame, Samuel J.
1
Ftiti, Zied
1
Galbraith, John W.
1
Glickman, Mark E.
1
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1
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Annals of financial economics
Econometric reviews
Working paper / National Bureau of Economic Research, Inc.
180
The journal of futures markets
130
Journal of econometrics
122
Energy economics
110
Discussion paper / Tinbergen Institute
90
Journal of empirical finance
85
Journal of banking & finance
82
Economic modelling
81
The review of financial studies
81
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
78
Finance research letters
72
The North American journal of economics and finance : a journal of financial economics studies
71
Discussion paper / Centre for Economic Policy Research
70
International journal of forecasting
67
Applied economics
63
Applied financial economics
62
International review of financial analysis
62
Working paper
62
The journal of finance : the journal of the American Finance Association
60
Economics letters
59
International review of economics & finance : IREF
58
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
51
Journal of financial and quantitative analysis : JFQA
48
Journal of financial economics
45
Research in international business and finance
41
Journal of international financial markets, institutions & money
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
40
Journal of forecasting
39
Journal of risk and financial management : JRFM
39
Applied economics letters
36
Journal of international money and finance
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
CESifo working papers
33
Econometric Institute research papers
33
Finance and economics discussion series
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CREATES research paper
30
NBER working paper series
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Quantitative finance
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The review of economics and statistics
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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
Does US infectious disease equity market volatility index predict G7 stock returns? : evidence beyond symmetry
Gohar, Raheel
;
Salman, Asma
;
Uche, Emmanuel
;
Derindag, …
- In:
Annals of financial economics
18
(
2023
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014442587
Saved in:
3
An analysis of the US individual investor sentiment influence on cryptocurrency returns and volatility
Sayim, Mustafa
;
Nguyen Quang My
- In:
Annals of financial economics
18
(
2023
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014442604
Saved in:
4
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:
5
Uncertainty related to infectious diseases and forecastability of the realized volatility of US treasury securities
Shiba, Sisa
;
Gupta, Rangan
- In:
Annals of financial economics
16
(
2021
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012656882
Saved in:
6
Historical forecasting of interest rate mean and volatility of the United States : is there a role of uncertainty?
Hassani, Hossein
;
Yeganegi, Mohammad Reza
;
Gupta, Rangan
- In:
Annals of financial economics
15
(
2020
)
4
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012643036
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 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:
10
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
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