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~isPartOf:"Applied economics"
~isPartOf:"Journal of econometrics"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Theorie"
~subject:"Volatility"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
Kapitaleinkommen
Theorie
Volatility
Volatilität
55
Stochastic process
50
Stochastischer Prozess
50
Stochastic volatility
35
Estimation
26
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26
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23
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17
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stochastic volatility
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McAleer, Michael
6
Tauchen, George Eugene
6
Todorov, Viktor
6
Asai, Manabu
4
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3
Chang, Chia-Lin
3
Li, Jia
3
Aït-Sahalia, Yacine
2
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2
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2
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Applied economics
Journal of econometrics
International journal of theoretical and applied finance
65
Quantitative finance
39
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
Working paper
22
Applied mathematical finance
21
Energy economics
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Journal of banking & finance
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19
European journal of operational research : EJOR
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Finance research letters
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
16
Insurance / Mathematics & economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Economic modelling
14
Finance and stochastics
14
International journal of financial engineering
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Risks : open access journal
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Tinbergen Institute Discussion Paper
14
International journal of forecasting
13
The journal of futures markets
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Discussion papers / CEPR
12
Econometric reviews
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Review of derivatives research
11
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International review of economics & finance : IREF
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
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31
Testing for non-correlation between price and volatility jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
32
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
33
On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
Saved in:
34
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
35
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
Saved in:
36
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
37
Particle efficient importance sampling
Scharth, Marcel
;
Kohn, Robert
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
Saved in:
38
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
39
A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide
;
Timmermann, Allan
;
Valkanov, Rossen I.
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
Saved in:
40
Nonparametric specification tests for
stochastic
volatility
models based on volatility density
Zu, Yang
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 323-344
Persistent link: https://www.econbiz.de/10011499459
Saved in:
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