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~isPartOf:"Journal of econometrics"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Volatility
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33
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Aufsatz in Zeitschrift
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Bollerslev, Tim
3
Engle, Robert F.
3
Ghysels, Eric
2
Zhou, Hao
2
Andersen, Torben
1
Bansal, Ravi
1
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1
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1
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1
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Journal of econometrics
The journal of futures markets
128
The review of financial studies
81
Journal of banking & finance
59
The journal of finance : the journal of the American Finance Association
58
Applied financial economics
49
Journal of financial and quantitative analysis : JFQA
46
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
45
Energy economics
44
The North American journal of economics and finance : a journal of financial economics studies
42
Journal of empirical finance
38
International review of financial analysis
36
Journal of financial economics
35
Applied economics
32
International review of economics & finance : IREF
32
The review of economics and statistics
30
Finance research letters
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Journal of international financial markets, institutions & money
29
Economic modelling
28
Economics letters
27
Journal of international money and finance
27
Journal of money, credit and banking : JMCB
26
Journal of economics & business
24
The American economic review
24
Global finance journal
23
Applied economics letters
22
The journal of derivatives : the official publication of the International Association of Financial Engineers
22
The journal of real estate finance and economics
20
Journal of economics and finance
19
Journal of applied econometrics
17
Journal of multinational financial management
17
Econometric reviews
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Journal of risk and financial management : JRFM
16
Research in international business and finance
16
The journal of fixed income
16
Review of quantitative finance and accounting
15
American journal of agricultural economics
14
Journal of monetary economics
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ECONIS (ZBW)
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1
Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
92
(
1999
)
1
,
pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
Saved in:
2
The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
Saved in:
3
Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
Saved in:
4
Testing for a slowly changing level with special reference to stochastic volatility
Harvey, Andrew C.
- In:
Journal of econometrics
87
(
1998
)
1
,
pp. 167-189
Persistent link: https://www.econbiz.de/10001248302
Saved in:
5
A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong
- In:
Journal of econometrics
72
(
1996
)
1
,
pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
Saved in:
6
The nonlinear price dynamics of US equity ETFs
Caginalp, Gunduz
;
DeSantis, Mark
;
Sayrak, Akin
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 193-201
Persistent link: https://www.econbiz.de/10010506060
Saved in:
7
A generalized bivariate mixture model for stock price volatility and trading volume
Liesenfeld, Roman
- In:
Journal of econometrics
104
(
2001
)
1
,
pp. 141-178
Persistent link: https://www.econbiz.de/10001589531
Saved in:
8
The surprise element: jumps in interest rates
Das, Sanjiv R.
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
Saved in:
9
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
10
Forecasting S&P 100 volatility : the incremental information content of implied volatilities and high-frequency index returns
Blair, Bevan J.
;
Poon, Ser-Huang
;
Taylor, Stephen
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001617140
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