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~isPartOf:"CREATES research paper"
~isPartOf:"Global COE Hi-Stat discussion paper series"
~subject:"ARCH model"
~subject:"Measurement"
~subject:"Prognoseverfahren"
~subject:"Statistical distribution"
~subject:"Theory"
~type_genre:"Bibliography included"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Search: subject:"Volatility"
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ARCH model
Measurement
Prognoseverfahren
Statistical distribution
Theory
Volatility
118
Volatilität
118
Theorie
47
Stochastic process
28
Stochastischer Prozess
28
Time series analysis
27
Zeitreihenanalyse
27
ARCH-Modell
25
Capital income
25
Kapitaleinkommen
25
Estimation
21
Schätzung
21
Börsenkurs
20
Forecasting model
20
Share price
20
Estimation theory
17
Schätztheorie
17
Option pricing theory
13
Optionspreistheorie
13
Modellierung
10
Risikoprämie
10
Risk premium
10
Scientific modelling
10
USA
10
United States
10
Correlation
7
Korrelation
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Aktienmarkt
6
Martingal
6
Martingale
6
Option trading
6
Optionsgeschäft
6
Statistische Verteilung
6
Stock market
6
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75
Type of publication
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Book / Working Paper
75
Type of publication (narrower categories)
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Bibliography included
Graue Literatur
Working Paper
Arbeitspapier
75
Non-commercial literature
75
Language
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English
75
Author
All
Santucci de Magistris, Paolo
7
Hansen, Peter Reinhard
6
Lunde, Asger
6
Todorov, Viktor
6
Andersen, Torben
5
Bollerslev, Tim
5
Watanabe, Toshiaki
5
Christoffersen, Peter F.
4
Teräsvirta, Timo
4
Barndorff-Nielsen, Ole E.
3
Hounyo, Ulrich
3
Rossi, Eduardo
3
Silvennoinen, Annastiina
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Voev, Valeri
3
Andreasen, Martin Møller
2
Bennedsen, Mikkel
2
Caporin, Massimiliano
2
Christensen, Bent Jesper
2
Christensen, Kim
2
Fusari, Nicola
2
Jacobs, Kris
2
Meddahi, Nour
2
Omori, Yasuhiro
2
Pakkanen, Mikko S.
2
Podolskij, Mark
2
Ubukata, Masato
2
Violante, Francesco
2
Xu, Lai
2
Yu, Jun
2
Amado, Cristina
1
Andreasen, Martin M.
1
Archakov, Ilya
1
Babaoğlu, Kadir
1
Barletta, Andrea
1
Benzoni, Luca
1
Bolko, Anine E.
1
Chang, Bo Young
1
Chini, Emilio Zanetti
1
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CREATES research paper
Global COE Hi-Stat discussion paper series
Working paper / National Bureau of Economic Research, Inc.
217
Discussion paper / Tinbergen Institute
152
Discussion paper / Centre for Economic Policy Research
128
Working paper
121
Discussion paper series / IZA
86
CESifo working papers
84
Research paper series / Swiss Finance Institute
55
Econometric Institute research papers
54
Discussion papers / CEPR
52
Working papers
50
Finance and economics discussion series
45
SFB 649 discussion paper
44
Swiss Finance Institute Research Paper
39
Department of Economics working paper series
37
Discussion paper
36
CAMA working paper series
35
IMF working papers
35
IMF working paper
31
CFS working paper series
30
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
29
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
27
Kiel working paper
27
Working paper series / European Central Bank
27
International finance discussion papers
23
Staff reports / Federal Reserve Bank of New York
22
Economics working paper
21
Working paper series
21
CORE discussion papers : DP
20
NCER working paper series
20
CORE discussion paper : DP
19
Discussion paper series
19
Staff working paper / Bank of Canada
19
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
18
Cambridge working papers in economics
18
Federal Reserve Bank of Cleveland working paper series
18
Working paper / Department of Econometrics and Business Statistics, Monash University
18
Working paper series / Centre for Practical Quantitative Finance
18
Working papers / Federal Reserve Bank of Philadelphia, Research Department
18
Discussion paper / Center for Economic Research, Tilburg University
17
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ECONIS (ZBW)
75
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic
volatility
models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
3
A machine learning approach to
volatility
forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
4
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
5
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
6
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
7
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
8
Time-varying periodicity in intraday
volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
9
Forecasting dynamically asymmetric fluctuations of the U.S. business cycle
Chini, Emilio Zanetti
-
2018
Persistent link: https://www.econbiz.de/10011864895
Saved in:
10
A regime-switching stochastic
volatility
model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
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