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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial markets"
~isPartOf:"Revista Brasileira de Finanças : RBFin"
~person:"Castro, Paula Baião Fisher de"
~person:"Koopman, Siem Jan"
~person:"Medeiros, Marcelo C."
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Search: subject:"Volatility"
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Volatility
7
Volatilität
7
Forecasting model
3
Prognoseverfahren
3
Time series analysis
3
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3
Aktienmarkt
2
Börsenkurs
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2
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2
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2
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1
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1
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7
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Castro, Paula Baião Fisher de
Koopman, Siem Jan
Medeiros, Marcelo C.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
14
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Bondarenko, Oleg
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Cao, Charles Q.
3
Carriero, Andrea
3
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Journal of econometrics
Journal of financial markets
Revista Brasileira de Finanças : RBFin
Discussion paper / Tinbergen Institute
43
Tinbergen Institute Discussion Papers
31
Tinbergen Institute Discussion Paper
24
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
12
Texto para discussão
8
Econometric Institute research papers
4
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4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
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4
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3
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3
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Studies in Nonlinear Dynamics & Econometrics
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1
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1
Computing in Economics and Finance 2002
1
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1
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1
Documentos de Trabajo del ICAE
1
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1
Econometric analysis of financial and economic time series ; part a
1
Econometric theory
1
Economics Papers / Economics Group, Nuffield College, University of Oxford
1
Economics Series Working Papers / Department of Economics, Oxford University
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of Banking & Finance
1
Journal of Empirical Finance
1
Journal of applied econometrics
1
Journal of banking & finance
1
Journal of economic surveys
1
Journal of empirical finance
1
Journal of financial econometrics
1
National Bank of Belgium Working Paper
1
Tinbergen Institute Discussion Paper 09-110/4
1
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ECONIS (ZBW)
7
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7
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date (oldest first)
1
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:
2
Jumps in stock prices : new insights from old data
Johnson, James A.
;
Medeiros, Marcelo C.
;
Paye, Bradley S.
- In:
Journal of financial markets
60
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013398004
Saved in:
3
Economic gains of realized
volatility
in the Brazilian stock market
Garcia, Márcio Gomes Pinto
;
Medeiros, Marcelo C.
; …
- In:
Revista Brasileira de Finanças : RBFin
12
(
2014
)
3
,
pp. 319-349
Persistent link: https://www.econbiz.de/10011585234
Saved in:
4
Assessing day-to-day
volatility
: does the trading time matter?
Vicente, José Valentim Machado
;
Araújo, Gustavo Silva
; …
- In:
Revista Brasileira de Finanças : RBFin
12
(
2014
)
1
,
pp. 41-66
Persistent link: https://www.econbiz.de/10010402920
Saved in:
5
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
6
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
7
Estimation of stochastic
volatility
models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
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