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~person:"Corsi, Fulvio"
~person:"Jacquier, Antoine (Jack)"
~person:"Medeiros, Marcelo C."
~person:"Rodriguez, Gabriel"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Search: subject:"Volatility"
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Stochastischer Prozess
Zeitreihenanalyse
Volatility
45
Volatilität
45
Theorie
17
Theory
17
Time series analysis
17
Estimation
15
Schätzung
15
Capital income
14
Forecasting model
14
Kapitaleinkommen
14
Prognoseverfahren
14
Stochastic process
14
Börsenkurs
13
Share price
13
Aktienmarkt
12
Stock market
12
ARCH model
11
ARCH-Modell
11
Exchange rate
10
Wechselkurs
10
Peru
9
Bayesian inference
7
Bayes-Statistik
6
Estimation theory
6
Schätztheorie
6
Stochastic volatility
5
Devisenmarkt
4
Foreign exchange market
4
Long memory
4
Markov chain
4
Markov-Kette
4
Option pricing theory
4
Optionspreistheorie
4
VAR model
4
VAR-Modell
4
ARFIMA models
3
ARMA model
3
ARMA-Modell
3
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Article
29
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29
Working Paper
25
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24
Graue Literatur
23
Non-commercial literature
23
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English
29
Author
All
Corsi, Fulvio
Jacquier, Antoine (Jack)
Medeiros, Marcelo C.
Rodriguez, Gabriel
McAleer, Michael
36
Gupta, Rangan
24
Asai, Manabu
22
Escobar, Marcos
22
Todorov, Viktor
22
Tauchen, George Eugene
20
Bollerslev, Tim
17
Andersen, Torben
16
Cui, Zhenyu
16
Gil-Alaña, Luis A.
16
Li, Jia
14
Chan, Joshua
13
Ma, Feng
13
Degiannakis, Stavros
12
Fouque, Jean-Pierre
12
Kumar, Dilip
12
Takahashi, Akihiko
12
Tiwari, Aviral Kumar
12
Wang, Xingchun
12
Carr, Peter
11
Chang, Chia-Lin
11
Kim, Jeong-Hoon
11
Yu, Jun
11
Caporale, Guglielmo Maria
10
Caporin, Massimiliano
10
Koopman, Siem Jan
10
Maheswaran, S.
10
Mumtaz, Haroon
10
Taylor, Robert
10
Teräsvirta, Timo
10
Benth, Fred Espen
9
Cavaliere, Giuseppe
9
Fabozzi, Frank J.
9
Forde, Martin
9
Hafner, Christian M.
9
Li, Wai Keung
9
Nguyen, Duy
9
Renault, Eric
9
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Journal of econometrics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Review of world economics
3
Econometric reviews
2
Journal of financial econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
International journal of forecasting
1
International journal of monetary economics and finance
1
Journal of emerging market finance
1
Journal of financial economics
1
Journal of international money and finance
1
Macroeconomics and finance in emerging market economies
1
Portuguese economic journal
1
Review of Pacific Basin financial markets and policies
1
Review of development finance
1
Revista de análisis económico
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
29
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29
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date (oldest first)
1
Evolution of the exchange rate pass-through into prices in Peru : an empirical application using TVP-VAR-SV models
Rodriguez, Gabriel
;
Castillo B., Paul
;
Calero, Roberto
; …
- In:
Journal of international money and finance
142
(
2024
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014549830
Saved in:
2
Evolution of the effects of mineral commodity prices on fiscal fluctuations : empirical evidence from TVP-VAR-SV models for Peru
Urbina, Dante A.
;
Rodriguez, Gabriel
- In:
Review of world economics
159
(
2023
)
1
,
pp. 153-184
Persistent link: https://www.econbiz.de/10014307241
Saved in:
3
Time changing effects of external shocks on macroeconomic fluctuations in Peru : empirical application using regime-switching VAR models with stochastic
volatility
Chávez, Paulo
;
Rodriguez, Gabriel
- In:
Review of world economics
159
(
2023
)
2
,
pp. 505-544
Persistent link: https://www.econbiz.de/10014308071
Saved in:
4
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
5
HARK the SHARK : realized
volatility
modeling with measurement errors and nonlinear dependencies
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 614-649
Persistent link: https://www.econbiz.de/10012654982
Saved in:
6
Stochastic
volatility
in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 272-286
Persistent link: https://www.econbiz.de/10012655392
Saved in:
7
A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of financial econometrics
18
(
2020
)
1
,
pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
Saved in:
8
A stochastic
volatility
model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
9
Asymmetries in
Volatility
: an empirical study for the Peruvian stock and Forex markets
Alanya, Willy
;
Rodriguez, Gabriel
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
1
,
pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
Saved in:
10
An empirical application of a stochastic
volatility
model with GH skew Student's t-distribution to the
volatility
of Latin-American stock returns
Lengua Lafosse, Patricia
;
Rodriguez, Gabriel
- In:
The quarterly review of economics and finance : journal …
69
(
2018
),
pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
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