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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Stochastic process"
~subject:"Theorie"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
Measurement
Stochastic process
Theorie
Volatilität
109
Volatility
106
Theory
46
Prognoseverfahren
39
Forecasting model
37
Capital income
35
Kapitaleinkommen
35
Stochastischer Prozess
30
Zeitreihenanalyse
23
Schätzung
22
Time series analysis
22
Estimation
21
Share price
21
USA
19
ARCH-Modell
18
United States
18
Option pricing theory
17
Optionspreistheorie
17
Bayes-Statistik
11
Bayesian inference
11
Financial market
10
Finanzmarkt
10
Statistical distribution
10
Statistische Verteilung
10
CAPM
9
State space model
9
Zustandsraummodell
9
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Optionsgeschäft
8
Markov-Kette
7
Option trading
7
Markov chain
6
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6
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61
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Book / Working Paper
78
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Systematic review
Working Paper
Arbeitspapier
77
Graue Literatur
70
Non-commercial literature
70
Article in journal
58
Aufsatz in Zeitschrift
58
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5
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5
Aufsatzsammlung
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English
79
Author
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
125
Caporale, Guglielmo Maria
54
Chang, Chia-Lin
47
Gupta, Rangan
46
Koopman, Siem Jan
45
Lux, Thomas
42
Diebold, Francis X.
38
Bollerslev, Tim
36
Hautsch, Nikolaus
34
Härdle, Wolfgang
31
Pierdzioch, Christian
30
Asai, Manabu
26
Spagnolo, Nicola
26
Hafner, Christian M.
25
Bos, Charles S.
23
Lucas, André
23
Chiarella, Carl
21
Caporin, Massimiliano
20
Christensen, Bent Jesper
20
Merkl, Christian
20
Bauwens, Luc
19
Clements, Adam
19
Herwartz, Helmut
19
Mumtaz, Haroon
19
Fernández-Villaverde, Jesús
18
Aizenman, Joshua
17
Allen, David E.
17
Conrad, Christian
17
Marcellino, Massimiliano
17
Platen, Eckhard
17
Teräsvirta, Timo
17
Bloom, Nicholas
16
Carriero, Andrea
16
Clark, Todd E.
16
Mittnik, Stefan
16
Nielsen, Morten Ørregaard
16
Rodriguez, Gabriel
16
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The Wharton Financial Institutions Center
3
Rodney L. White Center for Financial Research
2
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Université de Montréal / Département de sciences économiques
1
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Working paper / Department of Econometrics and Business Statistics, Monash University
17
Working paper / National Bureau of Economic Research, Inc.
13
Working papers / Financial Institutions Center
9
CREATES research paper
8
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
6
CFS working paper series
4
Econometric Institute research papers
3
Financial Institutions Center
3
Global COE Hi-Stat discussion paper series
2
Working papers / Federal Reserve Bank of Chicago
2
Working papers / Rodney L. White Center for Financial Research
2
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Department of Economics discussion paper series / University of Oxford
1
Economics discussion papers
1
Handbook of economic forecasting ; Vol. 1
1
International finance discussion papers
1
Staff working paper / Bank of Canada
1
Technical working paper / National Bureau of Economic Research
1
Texto para discussão
1
Working paper
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
78
EconStor
1
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
4
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
5
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
6
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
7
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
8
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
Saved in:
9
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
10
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
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