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~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial economics"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Ghysels, Eric"
~person:"Gouriéroux, Christian"
~person:"Lütkepohl, Helmut"
~person:"Steel, Mark F. J."
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Estimation
53
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53
Volatility
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Volatilität
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Ghysels, Eric
Gouriéroux, Christian
Lütkepohl, Helmut
Steel, Mark F. J.
Todorov, Viktor
20
Su, Liangjun
14
Tauchen, George Eugene
13
Baltagi, Badi H.
11
Gao, Jiti
9
Marcellino, Massimiliano
9
Phillips, Peter C. B.
9
Koop, Gary
8
Linton, Oliver
8
Pesaran, M. Hashem
8
Gil-Alaña, Luis A.
7
Li, Jia
7
Liesenfeld, Roman
7
Aït-Sahalia, Yacine
6
Egger, Peter
6
Franses, Philip Hans
6
Gupta, Rangan
6
Herwartz, Helmut
6
Hsu, Yu-Chin
6
Kim, Donggyu
6
Koopman, Siem Jan
6
Li, Kunpeng
6
Li, Qi
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Timmermann, Allan
6
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Berg, Gerard J. van den
5
Caporale, Guglielmo Maria
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Francq, Christian
5
Hsiao, Cheng
5
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5
Kelly, Bryan T.
5
Lu, Xun
5
Millimet, Daniel L.
5
Patton, Andrew J.
5
Ravazzolo, Francesco
5
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5
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Journal of financial economics
Oxford bulletin of economics and statistics
Discussion papers / Deutsches Institut für Wirtschaftsforschung
11
Discussion paper / Centre for Economic Policy Research
9
Working paper / National Bureau of Economic Research, Inc.
8
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CREATES research paper
6
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6
Discussion papers of interdisciplinary research project 373
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Journal of applied econometrics
5
SFB 649 discussion paper
5
Macroeconomic dynamics
4
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
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CESifo working papers
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CFS working paper series
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DIW Berlin Discussion Paper
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ERID working paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Economics letters
3
Finance and economics discussion series
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IZA Discussion Paper
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Journal of banking & finance
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research paper series / Swiss Finance Institute
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Série des documents de travail
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Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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The journal of finance : the journal of the American Finance Association
3
Annals of economics and statistics
2
CORE discussion paper : DP
2
CREATES Research Paper
2
Cahier de recherche
2
EUI working paper / ECO
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
IHS economics series : working paper
2
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ECONIS (ZBW)
53
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Machine learning panel data regressions with heavy-tailed dependent data : theory and application
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
Saved in:
4
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
5
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
6
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
7
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
8
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
9
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
10
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
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