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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"CREATES research paper"
~isPartOf:"Department of Economics discussion paper series / University of Oxford"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
Japan
Measurement
Monte-Carlo-Simulation
Theorie
United States
Volatility
18
Volatilität
18
ARCH-Modell
11
Theory
6
Correlation
5
Korrelation
5
Stochastic process
4
Stochastischer Prozess
4
Estimation theory
3
Schätztheorie
3
Share price
3
Time series analysis
3
Zeitreihenanalyse
3
Analysis of variance
2
Capital income
2
Estimation
2
Exchange rate
2
Kapitaleinkommen
2
Markov chain
2
Markov-Kette
2
Modellierung
2
Schätzung
2
Scientific modelling
2
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2
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2002-2010
1
Ankündigungseffekt
1
Announcement effect
1
Bayes-Statistik
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Bayesian inference
1
CAPM
1
Capital market returns
1
Conditional Autoregressive Wishart (CAW) model
1
Derivat
1
Derivative
1
Dynamic conditional correlations
1
EU countries
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16
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16
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Aufsatz in Zeitschrift
Systematic review
Working Paper
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16
Graue Literatur
16
Non-commercial literature
16
Language
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English
16
Author
All
Allen, David E.
Andersen, Torben
Bauwens, Luc
Medeiros, Marcelo C.
Bollerslev, Tim
7
Santucci de Magistris, Paolo
7
Hafner, Christian M.
6
Teräsvirta, Timo
6
Todorov, Viktor
6
Christiansen, Charlotte
5
Hansen, Peter Reinhard
5
Amado, Cristina
4
Hounyo, Ulrich
4
Lunde, Asger
4
Silvennoinen, Annastiina
4
Barndorff-Nielsen, Ole E.
3
Campos-Martins, Susana
3
Christensen, Kim
3
Dufays, Arnaud
3
Podolskij, Mark
3
Rossi, Eduardo
3
Shephard, Neil G.
3
Sheppard, Kevin
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Andreasen, Martin Møller
2
Asgharian, Hossein
2
Bennedsen, Mikkel
2
Breitung, Jörg
2
Caporin, Massimiliano
2
Christensen, Bent Jesper
2
Christoffersen, Peter F.
2
Fusari, Nicola
2
Hou, Ai Jun
2
Meddahi, Nour
2
Otranto, Edoardo
2
Pakkanen, Mikko S.
2
Preminger, Arie
2
Sucarrat, Genaro
2
Violante, Francesco
2
Xu, Lai
2
Andreasen, Martin M.
1
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CORE discussion papers : DP
CREATES research paper
Department of Economics discussion paper series / University of Oxford
Working paper / National Bureau of Economic Research, Inc.
14
Journal of econometrics
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
Discussion paper / Tinbergen Institute
6
School of Accounting, Finance and Economics & FEMARC working paper series
6
The journal of finance : the journal of the American Finance Association
6
Econometric Institute research papers
5
Working papers / Financial Institutions Center
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
CFS working paper series
3
Discussion papers / UCL, Département des Sciences Economiques
3
Financial Institutions Center
3
International journal of forecasting
3
Journal of applied econometrics
3
Journal of financial markets
3
Applied economics
2
Econometric reviews
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Global COE Hi-Stat discussion paper series
2
International economic review
2
Journal of risk and financial management : JRFM
2
LIDAM discussion paper CORE
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tinbergen Institute Discussion Paper
2
Working papers / Federal Reserve Bank of Chicago
2
American Economic Review papers and proceedings
1
Annals of economics and statistics
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
CEFIR and NES working papers
1
CORE discussion paper : DP
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Cardiff economics working papers
1
Economics discussion papers
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Handbook of economic forecasting ; Vol. 1
1
International finance discussion papers
1
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ECONIS (ZBW)
16
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1
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
2
Time-varying periodicity in intraday
volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
3
Short-term market risks implied by weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797670
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
5
A new approach to
volatility
modeling : the high-dimensional Markov Model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
-
2016
Persistent link: https://www.econbiz.de/10011894434
Saved in:
6
Modeling the dependence of conditional correlations on
volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
7
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
8
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
9
Multivariate
volatility
modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
-
2011
Persistent link: https://www.econbiz.de/10009161059
Saved in:
10
Coherent model-free implied
volatility
: a corridor fix for high-frequency VIX
Andersen, Torben
;
Bondarenko, Oleg
;
Gonzalez-Perez, Maria T.
-
2011
Persistent link: https://www.econbiz.de/10009385071
Saved in:
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