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~subject:"Algorithmus"
~subject:"Stochastischer Prozess"
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Algorithmus
Stochastischer Prozess
Theory
Volatility
101
Volatilität
101
Theorie
39
Capital income
25
Kapitaleinkommen
25
Time series analysis
25
Zeitreihenanalyse
25
Stochastic process
22
Börsenkurs
19
Share price
19
ARCH model
18
ARCH-Modell
18
Estimation
18
Schätzung
18
Forecasting model
17
Prognoseverfahren
17
Estimation theory
15
Schätztheorie
15
Option pricing theory
11
Optionspreistheorie
11
Modellierung
9
Scientific modelling
9
Risikoprämie
8
Risk premium
8
Correlation
7
Korrelation
7
USA
7
United States
7
Aktienmarkt
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Stock market
6
Business cycle
5
CAPM
5
Konjunktur
5
Martingal
5
Martingale
5
Risiko
5
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48
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Book / Working Paper
48
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Working Paper
Arbeitspapier
48
Graue Literatur
48
Non-commercial literature
48
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English
48
Author
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Santucci de Magistris, Paolo
6
Lunde, Asger
4
Barndorff-Nielsen, Ole E.
3
Bollerslev, Tim
3
Christensen, Bent Jesper
3
Hounyo, Ulrich
3
Podolskij, Mark
3
Rossi, Eduardo
3
Todorov, Viktor
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Andersen, Torben
2
Bennedsen, Mikkel
2
Caporin, Massimiliano
2
Christensen, Kim
2
Grassi, Stefano
2
Hansen, Peter Reinhard
2
Kristensen, Dennis
2
Meddahi, Nour
2
Pakkanen, Mikko S.
2
Proietti, Tommaso
2
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Archakov, Ilya
1
Benzoni, Luca
1
Bolko, Anine E.
1
Christiansen, Charlotte
1
Christoffersen, Peter F.
1
Corcuera, José Manual
1
Creel, Michael D.
1
Dias, Gustavo Fruet
1
Dijk, Dick van
1
Ergemen, Yunus Emre
1
Exterkate, Peter
1
Fissler, Tobias
1
Floor Brix, Anne
1
Fusari, Nicola
1
Gonc̜alves, Sílva
1
Gonçalves, Sílvia
1
Heston, Steven L.
1
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
203
Discussion paper / Centre for Economic Policy Research
118
Discussion paper / Tinbergen Institute
114
Working paper
92
Discussion paper series / IZA
85
CESifo working papers
67
Research paper series / Swiss Finance Institute
65
Discussion papers / CEPR
52
Swiss Finance Institute Research Paper
43
Working papers
39
SFB 649 discussion paper
37
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
36
Finance and economics discussion series
35
Discussion paper
32
IMF working papers
32
Kiel working paper
28
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
26
IMF working paper
25
CFS working paper series
24
Working paper / Department of Econometrics and Business Statistics, Monash University
21
Working paper series / European Central Bank
20
International finance discussion papers
19
Working paper series
19
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
18
Discussion papers of interdisciplinary research project 373
18
Econometric Institute research papers
18
Economics working paper
18
Staff reports / Federal Reserve Bank of New York
18
CORE discussion paper : DP
17
Discussion paper series
17
Working papers / Federal Reserve Bank of Philadelphia, Research Department
17
Discussion paper / Center for Economic Research, Tilburg University
16
Federal Reserve Bank of Cleveland working paper series
16
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Staff working paper / Bank of Canada
15
Working papers / Rodney L. White Center for Financial Research
15
CAMA working paper series
14
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
14
ERID working paper
13
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ECONIS (ZBW)
48
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1
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:
2
A machine learning approach to
volatility
forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
3
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
4
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:
5
A regime-switching stochastic
volatility
model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
6
Decoupling the short- and long-term behavior of stochastic
volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
7
Comparing predictive accuracy under long memory : with an application to
volatility
forecasting
Kruse, Robinson
;
Leschinski, Christian
;
Will, Michael
-
2016
Persistent link: https://www.econbiz.de/10011474820
Saved in:
8
Volatility
discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
9
Exponential smoothing, long memory and
volatility
prediction
Proietti, Tommaso
-
2015
Persistent link: https://www.econbiz.de/10011387619
Saved in:
10
A Markov chain estimator of multivariate
volatility
from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
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