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~language:"eng"
~person:"Andersen, Torben"
~person:"Franses, Philip Hans"
~person:"Gil-Alaña, Luis A."
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
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Volatilität
Time series analysis
260
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260
Theorie
172
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172
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166
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166
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114
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Andersen, Torben
Franses, Philip Hans
Gil-Alaña, Luis A.
Gupta, Rangan
156
Bouri, Elie
93
Ma, Feng
92
McAleer, Michael
73
Bahmani-Oskooee, Mohsen
72
Hammoudeh, Shawkat
64
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63
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54
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51
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51
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49
Wohar, Mark E.
49
Wang, Yudong
46
Xuan Vinh Vo
46
Kumar, Dilip
44
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43
Corbet, Shaen
42
Pierdzioch, Christian
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Caporale, Guglielmo Maria
41
Demirer, Rıza
38
Lucey, Brian M.
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Salisu, Afees A.
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35
Chevallier, Julien
35
Hegerty, Scott W.
35
Ji, Qiang
34
Roubaud, David
34
Todorov, Viktor
34
Brooks, Robert
32
Zhang, Jin E.
32
Apergēs, Nikolaos
31
Hamori, Shigeyuki
31
Asai, Manabu
30
Degiannakis, Stavros
30
Ryu, Doojin
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Journal of econometrics
11
The journal of finance : the journal of the American Finance Association
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Finance research letters
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European review of economics and finance
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Industrial marketing management : the international journal for industrial and high-tech firms
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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NBER reporter online
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Research in international business and finance
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ECONIS (ZBW)
77
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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
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:
4
Measuring volatility persistence in leveraged loan markets in the presence of structural breaks
Abakah, Emmanuel Joel Aikins
;
Gil-Alaña, Luis A.
; …
- In:
International review of economics & finance : IREF
78
(
2022
),
pp. 141-152
Persistent link: https://www.econbiz.de/10013334550
Saved in:
5
Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Journal of economics and finance : JEF
46
(
2022
)
4
,
pp. 678-703
Persistent link: https://www.econbiz.de/10013442222
Saved in:
6
Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
Saved in:
7
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:
8
True or spurious long memory in the cryptocurrency markets : evidence from a multivariate test and other Whittle estimation methods
Assaf, Ata
;
Gil-Alaña, Luis A.
;
Mokni, Khaled
- In:
Empirical economics : a quarterly journal of the …
63
(
2022
)
3
,
pp. 1543-1570
Persistent link: https://www.econbiz.de/10013440392
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
A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
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