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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
~type_genre:"Lehrbuch"
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Stochastischer Prozess
Volatility
150
Volatilität
150
Theorie
75
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75
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70
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70
Time series analysis
58
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Chan, Joshua
3
Tauchen, George Eugene
3
Todorov, Viktor
3
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2
Clark, Todd E.
2
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2
Koopman, Siem Jan
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
International journal of theoretical and applied finance
137
Journal of econometrics
104
Quantitative finance
89
Applied mathematical finance
61
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
The journal of computational finance
49
Computational economics
48
Finance and stochastics
47
Journal of economic dynamics & control
46
Econometric reviews
44
European journal of operational research : EJOR
39
Journal of mathematical finance
39
Finance research letters
37
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Annals of finance
32
Journal of empirical finance
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
The journal of futures markets
31
Energy economics
28
Risks : open access journal
28
Economics letters
26
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of risk and financial management : JRFM
24
Review of derivatives research
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Applied economics
21
Economic modelling
20
Journal of financial economics
18
The European journal of finance
18
Applied financial economics
17
Econometrics : open access journal
17
Asia-Pacific financial markets
16
Journal of financial econometrics
16
International review of economics & finance : IREF
15
Applied economics letters
14
International journal of forecasting
14
Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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1
A statistical recurrent stochastic
volatility
model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
2
Long memory in stock-market trading volume
Lobato, Ignacio N.
;
Velasco, Carlos
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
4
,
pp. 410-427
Persistent link: https://www.econbiz.de/10001521494
Saved in:
3
A stochastic
volatility
model with Markov switching
So, Mike Ka-pui
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
2
,
pp. 244-253
Persistent link: https://www.econbiz.de/10001243996
Saved in:
4
A maximum likelihood approach for non-Gaussian stochastic
volatility
models
Fridman, Moshe
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
3
,
pp. 284-291
Persistent link: https://www.econbiz.de/10001246512
Saved in:
5
The stochastic
volatility
in mean model with time-varying parameters : an application to inflation modeling
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 17-28
Persistent link: https://www.econbiz.de/10011704092
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6
Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
Saved in:
7
Forecasting macroeconomic variables under model instability
Pettenuzzo, Davide
;
Timmermann, Allan
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 183-201
Persistent link: https://www.econbiz.de/10011704162
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8
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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9
Flexible modeling of dependence in
volatility
processes
Kalli, Maria
;
Griffin, Jim
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
Saved in:
10
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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