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~isPartOf:"Journal of econometrics"
~person:"Clements, Adam"
~person:"Gil-Alaña, Luis A."
~person:"Todorov, Viktor"
~type_genre:"Article in journal"
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Search: subject_exact:"Volatility"
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Volatility
17
Volatilität
17
Estimation
13
Schätzung
13
Stochastic process
11
Stochastischer Prozess
11
Estimation theory
10
Schätztheorie
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Clements, Adam
Gil-Alaña, Luis A.
Todorov, Viktor
Bollerslev, Tim
19
Tauchen, George Eugene
15
Andersen, Torben
11
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
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6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
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Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
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Linton, Oliver
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Maheu, John M.
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Park, Joon Y.
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Rahbek, Anders
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Renò, Roberto
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Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
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3
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3
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Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Finance research letters
4
International journal of forecasting
4
Journal of banking & finance
4
Journal of financial economics
4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Quantitative economics : QE ; journal of the Econometric Society
3
The North American journal of economics and finance : a journal of financial economics studies
3
Economic modelling
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of finance & economics : IJFE
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International review of economics & finance : IREF
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Journal of economics and finance
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European review of economics and finance
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
1
International journal of theoretical and applied finance
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International review of financial analysis
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Journal of applied econometrics
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Journal of economics and finance : JEF
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Journal of empirical finance
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Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society
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Research in international business and finance
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Review of development finance
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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The IUP journal of applied economics
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ECONIS (ZBW)
17
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17
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
7
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
10
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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