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~isPartOf:"Applied economics"
~isPartOf:"Journal of econometrics"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Schätzung"
~subject:"Theorie"
~subject:"Volatility"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
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Schätzung
Theorie
Volatility
Volatilität
55
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50
Stochastischer Prozess
50
Stochastic volatility
35
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26
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McAleer, Michael
6
Tauchen, George Eugene
6
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6
Asai, Manabu
4
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3
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3
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Applied economics
Journal of econometrics
International journal of theoretical and applied finance
65
Quantitative finance
40
Discussion paper / Tinbergen Institute
38
Journal of economic dynamics & control
27
CAMA working paper series
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
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Applied mathematical finance
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Energy economics
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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Insurance / Mathematics & economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Finance and stochastics
14
International journal of financial engineering
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International journal of forecasting
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Risks : open access journal
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The journal of futures markets
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Tinbergen Institute Discussion Paper
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Econometric reviews
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International review of economics & finance : IREF
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International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
55
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1
Is Bitcoin really a currency? : a viewpoint of a
stochastic
volatility
model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
2
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:
3
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
4
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:
5
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:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
Dynamics and synchronization of global equilibrium interest rates
Beyer, Robert
;
Milivojević, Lazar
- In:
Applied economics
55
(
2023
)
28
,
pp. 3195-3214
Persistent link: https://www.econbiz.de/10014299143
Saved in:
8
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
9
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
Saved in:
10
Comment on "Large Bayesian vector autoregressions with
stochastic
volatility
and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
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