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~subject:"Financial market"
~type:"article"
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Search: subject_exact:"Volatility"
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Financial market
Volatility
319
Volatilität
319
Theorie
124
Theory
124
Estimation theory
116
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
Estimation
102
Schätzung
102
Time series analysis
100
Zeitreihenanalyse
100
Capital income
69
Kapitaleinkommen
69
Börsenkurs
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67
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66
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Forecasting model
49
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Market microstructure
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Nonparametric statistics
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Option pricing theory
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Statistical distribution
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Stochastic volatility
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Noise Trading
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Noise trading
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USA
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16
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Boswijk, Herman Peter
2
Kim, Donggyu
2
Tauchen, George Eugene
2
Yang, Xiye
2
Andersen, Torben
1
Aït-Sahalia, Yacine
1
Barigozzi, Matteo
1
Bollerslev, Tim
1
Brunetti, Celso
1
Chen, Fei
1
Christensen, Kim
1
Cui, Xiangyu
1
Deo, Rohit S.
1
Diebold, Francis X.
1
Dobrev, Dobrislav
1
Dungey, Mardi H.
1
Engle, Robert F.
1
Erdemlioglu, Deniz
1
Fan, Jianqing
1
Gallo, Giampiero M.
1
Ghysels, Eric
1
Gouriéroux, Christian
1
Hallin, Marc
1
Hurvich, Clifford M.
1
Jasiak, Joann
1
Laeven, Roger J. A.
1
Lu, Yi
1
Lu, Zhiping
1
Mao, Guangyu
1
Matei, Marius
1
Oomen, Roel
1
Renò, Roberto
1
Sachs, Rainer von
1
Schorfheide, Frank
1
Soccorsi, Stefano
1
Song, Xinyu
1
Wang, Yazhen
1
Yuan, Huiling
1
Zhang, Zhengjun
1
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Journal of econometrics
Finance research letters
31
International review of financial analysis
28
Economic modelling
26
Applied economics
22
Research in international business and finance
20
The North American journal of economics and finance : a journal of financial economics studies
20
International review of economics & finance : IREF
17
Journal of risk and financial management : JRFM
14
Applied economics letters
13
Journal of empirical finance
13
Journal of financial economics
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Journal of international money and finance
12
Macroeconomic volatility, institutions and financial architectures : the developing world experience
12
Energy economics
11
Journal of banking & finance
11
Journal of international financial markets, institutions & money
11
Emerging markets, finance and trade : EMFT
10
International Journal of Financial Studies : open access journal
10
International journal of finance & economics : IJFE
10
Pacific-Basin finance journal
10
Economics letters
9
International journal of economics and finance
9
International journal of forecasting
9
Applied financial economics
8
Computational economics
8
Journal of economic dynamics & control
8
Quantitative finance
8
Journal of financial markets
7
Journal of monetary economics
7
Macroeconomic dynamics
7
Open economies review
7
The European journal of finance
7
Cogent economics & finance
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of economics and financial issues : IJEFI
6
International journal of theoretical and applied finance
6
Journal of financial stability
6
Emerging markets review
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ECONIS (ZBW)
16
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1
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
4
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
5
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
6
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
7
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
Saved in:
8
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
9
Estimating spot volatility with high-frequency financial data
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of econometrics
181
(
2014
)
2
,
pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
Saved in:
10
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
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