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~isPartOf:"Econometric reviews"
~source:"econis"
~subject:"Prognoseverfahren"
~subject:"United States"
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Search: subject:"Volatility"
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Prognoseverfahren
United States
Volatility
90
Volatilität
90
Theorie
53
Theory
53
Stochastic process
44
Stochastischer Prozess
44
Time series analysis
33
Zeitreihenanalyse
33
Estimation
29
Schätzung
29
Estimation theory
25
Schätztheorie
25
ARCH model
22
ARCH-Modell
22
Capital income
19
Kapitaleinkommen
19
Multivariate Analyse
18
Multivariate analysis
18
USA
17
Forecasting model
15
Monte Carlo simulation
15
Monte-Carlo-Simulation
15
Bayes-Statistik
12
Bayesian inference
12
Börsenkurs
12
Share price
12
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Correlation
9
Exchange rate
9
Korrelation
9
Wechselkurs
9
Modellierung
8
Scientific modelling
8
Statistical test
8
Statistischer Test
8
Markov chain
7
Markov-Kette
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Article
30
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30
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English
30
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McAleer, Michael
4
Asai, Manabu
3
Bordignon, Silvano
2
Jawadi, Fredj
2
Anatolyev, Stanislav
1
Bandi, Federico M.
1
Brechmann, E. C.
1
Bu, Ruijun
1
Caporin, Massimiliano
1
Cartea, Álvaro
1
Chan, David
1
Christodoulakis, George A.
1
Corsi, Fulvio
1
Dellaportas, Petros
1
Denison, David G. T.
1
Dufays, Arnaud
1
Fernandes, Marcelo
1
Ftiti, Zied
1
Glickman, Mark E.
1
Gonçalves, Sílvia
1
Han, Ai
1
He, Yanan
1
Heiden, M.
1
Hillebrand, Eric
1
Holmes, Chris
1
Hong, Yongmiao
1
Horowitz, Joel
1
Hoti, Suhejla
1
Karyampas, Dimitrios
1
Kirby, Chris
1
Kobotaev, Nikita
1
Kohn, Robert
1
Koopman, Siem Jan
1
Kwan, W.
1
Laurini, Fabrizio
1
Li, Wai Keung
1
Li, Yuyi
1
Lisi, Francesco
1
Long, Yonghong
1
Louhichi, Waël
1
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Econometric reviews
Working paper / National Bureau of Economic Research, Inc.
277
Energy economics
157
The journal of futures markets
156
Finance research letters
138
International journal of forecasting
127
Journal of forecasting
116
International review of financial analysis
107
Journal of banking & finance
107
The review of financial studies
102
Journal of empirical finance
92
The North American journal of economics and finance : a journal of financial economics studies
91
International review of economics & finance : IREF
88
Applied economics
87
Discussion paper / Centre for Economic Policy Research
86
Economic modelling
83
Applied financial economics
73
Journal of econometrics
71
The journal of finance : the journal of the American Finance Association
69
Working paper
68
Journal of financial economics
67
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
NBER working paper series
63
Discussion paper series / IZA
60
Finance and economics discussion series
59
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
59
Applied economics letters
54
Journal of financial and quantitative analysis : JFQA
51
Journal of international financial markets, institutions & money
51
Discussion paper / Tinbergen Institute
49
Economics letters
48
The American economic review
44
Journal of international money and finance
42
The review of economics and statistics
41
Department of Economics working paper series
40
NBER Working Paper
40
The European journal of finance
40
Journal of labor economics
39
Journal of risk and financial management : JRFM
39
Research in international business and finance
38
International journal of finance & economics : IJFE
37
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ECONIS (ZBW)
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date (oldest first)
1
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
2
Forecasting crude oil price intervals and return
volatility
via autoregressive conditional interval models
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, …
- In:
Econometric reviews
40
(
2021
)
6
,
pp. 584-606
Persistent link: https://www.econbiz.de/10012624525
Saved in:
3
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
4
Forecasting energy futures
volatility
with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
5
The relationship between the
volatility
of returns and the number of jumps in financial markets
Cartea, Álvaro
;
Karyampas, Dimitrios
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 929-950
Persistent link: https://www.econbiz.de/10011590735
Saved in:
6
Modeling and forecasting realized covariance matrices with accounting for leverage
Anatolyev, Stanislav
;
Kobotaev, Nikita
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 114-139
Persistent link: https://www.econbiz.de/10012038156
Saved in:
7
A multivariate
volatility
vine copula model
Brechmann, E. C.
;
Heiden, M.
;
Okhrin, Y.
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 281-308
Persistent link: https://www.econbiz.de/10012038690
Saved in:
8
Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.
;
Koopman, Siem Jan
;
Ooms, Marius
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
Saved in:
9
Sparse change-point HAR Models for Realized Variance
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 857-880
Persistent link: https://www.econbiz.de/10012181370
Saved in:
10
The impact of jumps and leverage in forecasting covolatility
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
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