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~isPartOf:"Finmap working paper"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Dynamic covariance matrix"
~subject:"Estimation theory"
~subject:"Futures"
~subject:"Marktmikrostruktur"
~subject:"Portfolio-Management"
~subject:"Theorie"
~subject:"Volatilität"
~subject:"long memory"
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Dynamic covariance matrix
Estimation theory
Futures
Marktmikrostruktur
Portfolio-Management
Theorie
Volatilität
long memory
Volatility
36
Capital income
24
Kapitaleinkommen
24
Time series analysis
21
Zeitreihenanalyse
21
Estimation
19
Schätzung
19
Theory
15
Forecasting model
14
Prognoseverfahren
14
Analysis of variance
13
Realized volatility
13
Varianzanalyse
13
Stochastic process
11
Stochastischer Prozess
11
Börsenkurs
10
Schätztheorie
10
Share price
10
ARCH model
9
ARCH-Modell
9
Correlation
9
Korrelation
9
Realized variance
8
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6
Portfolio selection
6
Market microstructure
5
Risikoprämie
5
Risk premium
5
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5
Zustandsraummodell
5
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4
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4
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4
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Barunik, Jozef
4
Alfelt, Gustav
1
Anderson, Heather M.
1
Aretz, Kevin
1
Arisoy, Yakup Eser
1
Audrino, Francesco
1
Bandi, Federico M.
1
Barunikova, Michaela
1
Baruník, Jozef
1
Bodnar, Taras
1
Bormetti, Giacomo
1
Casarin, Roberto
1
Chen, Sipeng
1
Christoffersen, Peter F.
1
Clements, Adam
1
Cordis, Adriana S.
1
Corsi, Fulvio
1
Faria, Gonçalo
1
Fengler, Matthias
1
Feunou, Bruno
1
Golosnoy, Vasyl
1
Gribisch, Bastian
1
Guo, Hui
1
Hamori, Shigeyuki
1
Han, Chulwoo
1
Hansen, Peter Reinhard
1
Haugom, Erik
1
Hillebrand, Eric
1
Hua, Jian
1
Huang, Zhuo
1
Hyun, Jung-Soon
1
Javed, Farrukh
1
Jeon, Yoontae
1
Jing, Bingyi
1
Jozef, Baruník
1
Jung, Robert
1
Kaeck, Andreas
1
Kalnina, Ilze
1
Kirby, Chris
1
Kosowski, Robert L.
1
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Finmap working paper
Journal of banking & finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Finance research letters
42
International journal of forecasting
38
Journal of econometrics
37
Energy economics
28
Journal of forecasting
28
International review of economics & finance : IREF
27
Journal of financial econometrics
27
Economic modelling
26
The North American journal of economics and finance : a journal of financial economics studies
23
Journal of empirical finance
21
International review of financial analysis
20
Discussion paper / Tinbergen Institute
19
Journal of risk and financial management : JRFM
18
Applied economics letters
17
Quantitative finance
17
Applied economics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Department of Economics working paper series
12
Econometric reviews
12
Economics letters
12
International journal of finance & economics : IJFE
9
Pacific-Basin finance journal
9
Research in international business and finance
9
Econometrics : open access journal
8
IES working paper
8
Journal of financial markets
8
Journal of international financial markets, institutions & money
8
Journal of international money and finance
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
Financial innovation : FIN
7
Journal of risk
7
Review of quantitative finance and accounting
7
The European journal of finance
7
The journal of futures markets
7
Emerging markets, finance and trade : EMFT
6
International journal of theoretical and applied finance
6
Journal of financial economics
6
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ECONIS (ZBW)
42
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42
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1
Singular conditional autoregressive Wishart model for
realized
covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Weighted least squares
realized
covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
3
Modeling and forecasting
realized
portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
Saved in:
4
Why does option-implied volatility forecast
realized
volatility? : evidence from news events
Chen, Sipeng
;
Li, Gang
- In:
Journal of banking & finance
156
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014487208
Saved in:
5
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
6
The pricing of skewness over different return horizons
Aretz, Kevin
;
Arisoy, Yakup Eser
- In:
Journal of banking & finance
148
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248256
Saved in:
7
Multivariate stochastic volatility model with
realized
volatilities and pairwise
realized
correlations
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
Saved in:
8
The correlation risk premium : international evidence
Faria, Gonçalo
;
Kosowski, Robert L.
;
Wang, Tianyu
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013448802
Saved in:
9
A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
Saved in:
10
A geometric framework for covariance dynamics
Han, Chulwoo
;
Park, Frank C.
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013400017
Saved in:
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