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~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Bahmani-Oskooee, Mohsen"
~person:"Degiannakis, Stavros"
~person:"Ghysels, Eric"
~person:"Hammoudeh, Shawkat"
~person:"Todorov, Viktor"
~person:"Yoon, Seong-min"
~subject:"Aktienmarkt"
~subject:"Oil price"
~subject:"Prognoseverfahren"
~subject:"Risk"
~subject:"Stock market"
~subject:"Time series analysis"
~subject:"Volatilität"
~subject:"Ölpreis"
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Aktienmarkt
Oil price
Prognoseverfahren
Risk
Stock market
Time series analysis
Volatilität
Ölpreis
Volatility
31
Estimation
16
Schätzung
16
Estimation theory
15
Schätztheorie
15
Stochastic process
13
Stochastischer Prozess
13
Capital income
11
Kapitaleinkommen
11
Börsenkurs
10
Share price
10
Zeitreihenanalyse
10
Theorie
9
Theory
9
High-frequency data
7
Stochastic volatility
7
Forecasting model
6
Option pricing theory
6
Optionspreistheorie
6
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
CAPM
4
Induktive Statistik
4
Market microstructure
4
Marktmikrostruktur
4
Noise Trading
4
Noise trading
4
Options
4
Statistical inference
4
ARCH model
3
ARCH-Modell
3
Aktienindex
3
Beta risk
3
Betafaktor
3
Jumps
3
Martingal
3
Martingale
3
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31
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30
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English
31
Author
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Andersen, Torben
Bahmani-Oskooee, Mohsen
Degiannakis, Stavros
Ghysels, Eric
Hammoudeh, Shawkat
Todorov, Viktor
Yoon, Seong-min
Bollerslev, Tim
19
Tauchen, George Eugene
15
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
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
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
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
3
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Journal of econometrics
Energy economics
26
Working paper / National Bureau of Economic Research, Inc.
17
Applied economics
12
The North American journal of economics and finance : a journal of financial economics studies
11
CREATES research paper
9
International review of financial analysis
8
Empirica : journal of european economics
7
ERID working paper
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of financial economics
6
Journal of international financial markets, institutions & money
6
The journal of finance : the journal of the American Finance Association
6
CFS working paper series
5
Economic systems
5
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
5
International review of economics & finance : IREF
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
The energy journal
5
Working papers / Financial Institutions Center
5
Economic Research Initiatives at Duke (ERID) Working Paper
4
Economic modelling
4
Global finance journal
4
NBER working paper series
4
Research in international business and finance
4
Working Paper / Bank of Greece
4
Working paper
4
Australian economic papers
3
Bank of Greece Working Paper
3
Econometric Institute research papers
3
Econometric theory
3
Economic change and restructuring : empirical and policy research on the transitional and emerging economies
3
Economic issues
3
Finance research letters
3
Financial Institutions Center
3
International review of applied economics
3
Journal of applied econometrics
3
Journal of empirical finance
3
Korea and the world economy
3
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ECONIS (ZBW)
31
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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
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:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
6
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
7
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
10
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
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