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~isPartOf:"Série de trabalhos para discussão"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Andersen, Torben"
~person:"Carriero, Andrea"
~person:"Medeiros, Marcelo C."
~subject:"Analysis of variance"
~subject:"Kapitaleinkommen"
~subject:"Measurement"
~subject:"Messung"
~subject:"Prognoseverfahren"
~subject:"Schätzung"
~subject:"Statistical distribution"
~subject:"Theory"
~type_genre:"Bibliography included"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Analysis of variance
Kapitaleinkommen
Measurement
Messung
Prognoseverfahren
Schätzung
Statistical distribution
Theory
Volatility
15
Volatilität
15
Capital income
8
Theorie
8
USA
5
United States
5
Estimation
4
ARCH model
3
ARCH-Modell
3
Forecasting model
3
Statistische Verteilung
3
Ankündigungseffekt
2
Announcement effect
2
Black-Scholes model
2
Black-Scholes-Modell
2
Börsenkurs
2
Deutsche Mark
2
Exchange rate
2
Financial market
2
Finanzmarkt
2
Option trading
2
Optionsgeschäft
2
Risikoprämie
2
Risk premium
2
Share price
2
Stochastic process
2
Stochastischer Prozess
2
Wechselkurs
2
1953-1996
1
1987-1992
1
2011-2014
1
Beta risk
1
Betafaktor
1
Derivat
1
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Free
7
Undetermined
1
Type of publication
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Book / Working Paper
12
Type of publication (narrower categories)
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Bibliography included
Graue Literatur
Working Paper
Arbeitspapier
12
Non-commercial literature
11
Language
All
English
12
Author
All
Andersen, Torben
Carriero, Andrea
Medeiros, Marcelo C.
Diebold, Francis X.
12
Aizenman, Joshua
8
Aït-Sahalia, Yacine
8
Bekaert, Geert
8
Bollerslev, Tim
8
Campbell, John Y.
6
Engel, Charles
5
Engle, Robert F.
5
Lustig, Hanno
5
Rose, Andrew
5
Schwert, George William
5
Aghion, Philippe
4
Agénor, Pierre-Richard
4
Ang, Andrew
4
Giglio, Stefano
4
Hall, Robert Ernest
4
Harvey, Campbell R.
4
Kelly, Bryan T.
4
Lazear, Edward P.
4
Bacchetta, Philippe
3
Bansal, Ravi
3
Bates, David S.
3
Benzoni, Luca
3
Caballero, Ricardo J.
3
Calvet, Laurent E.
3
Carlin, Bruce Ian
3
Chari, Varadarajan V.
3
Chaudhuri, Shubham
3
Christiano, Lawrence J.
3
Christoffersen, Peter F.
3
Cochrane, John H.
3
Collin-Dufresne, Pierre
3
Farmer, Roger E. A.
3
Gertler, Mark
3
Goldstein, Robert S.
3
Lettau, Martin
3
Mauad, Roberto Baltieri
3
McLaren, John D.
3
Moffitt, Robert A.
3
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Published in...
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Série de trabalhos para discussão
Working paper / National Bureau of Economic Research, Inc.
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
9
Federal Reserve Bank of Cleveland working paper series
6
CFS working paper series
5
Working papers / Financial Institutions Center
5
Econometric Institute research papers
4
Working paper
4
CREATES research paper
3
Discussion papers / CEPR
3
Financial Institutions Center
3
Texto para discussão
3
Discussion paper / Centre for Economic Policy Research
2
Global COE Hi-Stat discussion paper series
2
Temi di discussione / Banca d'Italia
2
Working papers / Federal Reserve Bank of Chicago
2
American Economic Review papers and proceedings
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion paper
1
Econometric reviews
1
International finance discussion papers
1
Technical working paper / National Bureau of Economic Research
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
Working paper / Norges Bank
1
Working paper series
1
Working papers / Rodney L. White Center for Financial Research
1
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ECONIS (ZBW)
12
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date (oldest first)
1
No-arbitrage semi-martingale restrictions for continuous-time
volatility
models subject to leverage effects, jumps and i.i.d. noise : theory and testable distributional implication...
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
-
2007
intraday data and nonparametric
volatility
measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized
volatility
estimation. Size and power of the procedure are explored through …
Persistent link: https://www.econbiz.de/10003442519
Saved in:
2
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002634153
Saved in:
3
Volatility
forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002685057
Saved in:
4
Roughing it up : including jump components in the measurement, modeling and forecasting of return
volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2005
Persistent link: https://www.econbiz.de/10003217674
Saved in:
5
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009539803
Saved in:
6
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
-
2001
Persistent link: https://www.econbiz.de/10001615265
Saved in:
7
The distribution of stock return
volatility
Andersen, Torben
(
contributor
)
-
2000
Persistent link: https://www.econbiz.de/10001519326
Saved in:
8
Exchange rate returns standardized by realized
volatility
are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001440693
Saved in:
9
Do bonds span
volatility
risk in the US treasury market? : A specification test for affine term structure models
Andersen, Torben
;
Benzoni, Luca
-
2007
Persistent link: https://www.econbiz.de/10003442498
Saved in:
10
Modeling and forecasting realized
volatility
Andersen, Torben
(
contributor
)
-
2001
Persistent link: https://www.econbiz.de/10001561837
Saved in:
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