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~isPartOf:"Journal of financial econometrics"
~subject:"Volatilität"
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Search: subject_exact:"Time series analysis"
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Volatilität
Time series analysis
42
Zeitreihenanalyse
42
Volatility
27
Estimation
23
Schätzung
23
Theorie
22
Theory
22
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16
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forecasting
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high-frequency data
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realized volatility
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Bennedsen, Mikkel
1
Bu, Ruijun
1
Buccheri, Giuseppe
1
Calzolari, Giorgio
1
Caporin, Massimiliano
1
Catania, Leopoldo
1
Cavicchioli, Maddalena
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Cipollini, Fabrizio
1
Corsi, Fulvio
1
Dias, Gustavo Fruet
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1
Fallahgoul, Hasan
1
Fernandes, Marcelo
1
Gallo, Giampiero M.
1
Gong, Yuting
1
Gorgi, P.
1
Grønneberg, Steffen
1
Halbleib, Roxana
1
Hansen, Anne Lundgaard
1
Hansen, Peter Reinhard
1
Hassler, Uwe
1
Hong, Seok Young
1
Hugonnier, Julien
1
Hung, Mao-Wei
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Janus, Paweł
1
Jiang, Binyan
1
Jiang, Yushuang
1
Ko, Yi-Chen
1
Koopman, Siem Jan
1
Kruse, Robinson
1
Kurozumi, Eiji
1
Lazar, Emese
1
Leschinski, Christian
1
Liu, Cheng
1
Livieri, Giulia
1
Lu, Jin
1
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Journal of financial econometrics
Journal of econometrics
100
Discussion paper / Tinbergen Institute
76
Energy economics
69
International journal of forecasting
60
Economic modelling
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Journal of empirical finance
48
Finance research letters
44
Economics letters
35
Journal of forecasting
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Applied economics
33
Econometric reviews
33
The North American journal of economics and finance : a journal of financial economics studies
31
International review of financial analysis
29
International review of economics & finance : IREF
28
Quantitative finance
26
CREATES research paper
25
Working paper
25
Journal of banking & finance
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Computational economics
23
Journal of risk and financial management : JRFM
23
Research in international business and finance
21
SFB 649 discussion paper
18
Journal of economic dynamics & control
17
CAMA working paper series
16
Econometrics : open access journal
16
Applied economics letters
15
CESifo working papers
15
Applied financial economics
14
Economics working paper
14
The econometrics journal
14
Journal of financial economics
13
Journal of international financial markets, institutions & money
13
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
12
Econometric Institute research papers
12
Econometric theory
12
International Journal of Energy Economics and Policy : IJEEP
12
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ECONIS (ZBW)
27
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27
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
3
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
4
Forecasting under long memory
Hassler, Uwe
;
Pohle, Marc-Oliver
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
Saved in:
5
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
6
Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan
;
Hugonnier, Julien
;
Mancini, Loriano
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 810-851
Persistent link: https://www.econbiz.de/10014314823
Saved in:
7
The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
Saved in:
8
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
9
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
10
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
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