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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
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Volatility and depth in commod...
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Volatility
150
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150
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72
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72
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61
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61
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55
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55
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Li, Wai Keung
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
604
Finance research letters
519
NBER working paper series
484
Working paper / National Bureau of Economic Research, Inc.
470
International review of financial analysis
422
NBER Working Paper
417
Applied economics
381
The journal of futures markets
379
Journal of banking & finance
376
International review of economics & finance : IREF
361
Economic modelling
343
The North American journal of economics and finance : a journal of financial economics studies
325
Journal of econometrics
322
Applied financial economics
266
Applied economics letters
263
Journal of empirical finance
263
Research in international business and finance
257
Economics letters
248
Working paper
247
International journal of theoretical and applied finance
245
Discussion paper / Centre for Economic Policy Research
241
Journal of international financial markets, institutions & money
238
Journal of international money and finance
232
Discussion paper / Tinbergen Institute
199
Journal of risk and financial management : JRFM
199
Quantitative finance
191
Journal of financial economics
184
MPRA Paper
176
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
173
CESifo working papers
170
Pacific-Basin finance journal
170
International Journal of Energy Economics and Policy : IJEEP
166
The European journal of finance
157
IMF working papers
149
Journal of economic dynamics & control
148
International journal of finance & economics : IJFE
147
International journal of forecasting
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Journal of forecasting
131
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ECONIS (ZBW)
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61
Long swings in exchange rates : are they really in the data?
Klaassen, Franc
- In:
Journal of business & economic statistics : JBES ; a …
23
(
2005
)
1
,
pp. 87-95
Persistent link: https://www.econbiz.de/10002583998
Saved in:
62
Rolling-sample
volatility
estimators : some new theoretical, simulation, and empirical results
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 363-376
Persistent link: https://www.econbiz.de/10001695282
Saved in:
63
Conditional jump dynamics in stock market returns
Chan, Wing Hong
;
Maheu, John M.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 377-389
Persistent link: https://www.econbiz.de/10001695284
Saved in:
64
Volatility
, momentum, and time-varying skewness in foreign exchange returns
Johnson, Timothy C.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 390-411
Persistent link: https://www.econbiz.de/10001695288
Saved in:
65
Assessing market microstructure effects via realized
volatility
measures with an application to the Dow Jones Industrial Average stocks
Awartani, Basel
;
Corradi, Valentina
;
Distaso, Walter
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
2
,
pp. 251-265
Persistent link: https://www.econbiz.de/10003885789
Saved in:
66
Volatility
components, affine restrictions, and nonnormal innovations
Christoffersen, Peter F.
;
Dorion, Christian
;
Jacobs, Kris
; …
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
4
,
pp. 483-502
Persistent link: https://www.econbiz.de/10008736151
Saved in:
67
Derivative pricing with wishart multivariate stochastic
volatility
Gouriéroux, Christian
;
Sufana, Razvan
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
3
,
pp. 438-451
Persistent link: https://www.econbiz.de/10008736163
Saved in:
68
Deducing the implications of jump models for the structure of stock market crashes, rallies, jump arrival rates, and extremes
Bakshi, Gurdip S.
;
Madan, Dilip B.
;
Panayotov, George
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
3
,
pp. 380-396
Persistent link: https://www.econbiz.de/10008736201
Saved in:
69
Long-memory and level shifts in the
volatility
of stock market return indices
Perron, Pierre
;
Qu, Zhongjun
- In:
Journal of business & economic statistics : JBES ; a …
28
(
2010
)
2
,
pp. 275-290
Persistent link: https://www.econbiz.de/10008736221
Saved in:
70
A stochastic
volatility
model with conditional skewness
Feunou, Bruno
;
Tédongap, Roméo
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
4
,
pp. 576-591
Persistent link: https://www.econbiz.de/10009667026
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