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~isPartOf:"Journal of econometrics"
~isPartOf:"The European journal of finance"
~language:"eng"
~language:"mul"
~language:"spa"
~language:"vie"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
Theorie
1,945
Theory
1,945
Estimation theory
1,627
Schätztheorie
1,627
Time series analysis
698
Zeitreihenanalyse
698
Estimation
657
Schätzung
652
Nichtparametrisches Verfahren
549
Nonparametric statistics
549
Volatilität
470
Regression analysis
465
Regressionsanalyse
465
Capital income
377
Kapitaleinkommen
377
Forecasting model
375
Prognoseverfahren
375
Statistical test
334
Statistischer Test
334
Panel
324
Panel study
324
Börsenkurs
312
Share price
312
USA
296
United States
296
Stochastic process
260
Portfolio selection
228
Portfolio-Management
228
ARCH model
216
ARCH-Modell
216
Method of moments
209
Momentenmethode
208
Statistical distribution
198
Statistische Verteilung
198
Bootstrap approach
185
Bootstrap-Verfahren
185
Bayes-Statistik
179
Bayesian inference
179
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282
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3
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Article
605
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5
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Article in journal
Aufsatz in Zeitschrift
610
Collection of articles of several authors
6
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6
Conference paper
4
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4
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1
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1
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Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Aït-Sahalia, Yacine
11
McAleer, Michael
11
Phillips, Peter C. B.
10
Meddahi, Nour
8
Taylor, Robert
8
Xiu, Dacheng
8
Ghysels, Eric
7
Li, Jia
7
Mykland, Per A.
7
Park, Joon Y.
7
Patton, Andrew J.
7
Yu, Jun
7
Cavaliere, Giuseppe
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Linton, Oliver
6
Shephard, Neil G.
6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Chang, Chia-Lin
5
Dunis, Christian
5
Francq, Christian
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Renault, Eric
5
Zhou, Hao
5
Ap Gwilym, Owain
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Caporin, Massimiliano
4
Gupta, Rangan
4
Jasiak, Joann
4
Lieberman, Offer
4
Ling, Shiqing
4
Maheu, John M.
4
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
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Journal of econometrics
The European journal of finance
Energy economics
651
European journal of operational research : EJOR
649
Finance research letters
554
International journal of theoretical and applied finance
434
International review of financial analysis
415
Journal of banking & finance
411
Applied economics
407
Economic modelling
400
The journal of futures markets
368
International review of economics & finance : IREF
358
The North American journal of economics and finance : a journal of financial economics studies
346
Economics letters
314
Insurance / Mathematics & economics
292
Applied economics letters
284
Journal of empirical finance
273
Applied financial economics
272
Quantitative finance
259
Research in international business and finance
259
Journal of international financial markets, institutions & money
240
Journal of economic dynamics & control
239
Journal of international money and finance
228
Journal of risk and financial management : JRFM
226
Finance and stochastics
224
Journal of financial economics
197
Risks : open access journal
190
Computers & operations research : and their applications to problems of world concern ; an international journal
182
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
180
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
179
Applied mathematical finance
173
International Journal of Energy Economics and Policy : IJEEP
169
Operations research letters
169
Pacific-Basin finance journal
169
Operations research
168
Computational economics
167
Mathematical finance : an international journal of mathematics, statistics and financial theory
165
International journal of production research
164
International journal of forecasting
153
Mathematics of operations research
153
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ECONIS (ZBW)
610
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610
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1
Improving financial volatility nowcasts
Kruse-Becher, Robinson
;
Liu, Yuze
- In:
The European journal of finance
30
(
2024
)
2
,
pp. 101-126
Persistent link: https://www.econbiz.de/10014547345
Saved in:
2
Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias
;
Freeman, Mark
;
Vivian, Andrew
- In:
The European journal of finance
29
(
2023
)
15
,
pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
Saved in:
3
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
4
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
5
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
6
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
7
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
Saved in:
8
Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher
;
McMillan, David G.
;
Kambouroudis, Dimos
- In:
The European journal of finance
29
(
2023
)
14
,
pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954
Saved in:
9
Forecasting international REITs volatility : the role of oil-price uncertainty
Wang, Jiqian
;
Gupta, Rangan
;
Çepni, Oğuzhan
;
Ma, Feng
- In:
The European journal of finance
29
(
2023
)
14
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10014387948
Saved in:
10
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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