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~isPartOf:"Journal of econometrics"
~subject:"Volatility"
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Volatility
Theorie
1,645
Theory
1,645
Estimation theory
368
Schätztheorie
368
Time series analysis
335
Zeitreihenanalyse
335
Estimation
173
Schätzung
173
Nichtparametrisches Verfahren
145
Nonparametric statistics
145
Forecasting model
134
Prognoseverfahren
134
Statistical test
131
Statistischer Test
131
Volatilität
127
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118
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118
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105
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United States
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Monte-Carlo-Simulation
78
Markov chain
73
Markov-Kette
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Cointegration
72
Kointegration
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70
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127
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Aït-Sahalia, Yacine
6
Bollerslev, Tim
5
Andersen, Torben
4
Hallin, Marc
4
McAleer, Michael
4
Renault, Eric
4
Tauchen, George Eugene
4
Todorov, Viktor
4
Asai, Manabu
3
Barigozzi, Matteo
3
Cavaliere, Giuseppe
3
Nielsen, Morten Ørregaard
3
Patton, Andrew J.
3
Yu, Jun
3
Banerjee, Anindya
2
Boswijk, Herman Peter
2
Chan, Joshua
2
Christensen, Bent Jesper
2
Christensen, Kim
2
Diebold, Francis X.
2
Gallant, A. Ronald
2
Ghysels, Eric
2
Gonçalves, Sílvia
2
Gouriéroux, Christian
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Jensen, Mark J.
2
Liesenfeld, Roman
2
Liu, Ming
2
Maheu, John M.
2
Mancini, Loriano
2
Meddahi, Nour
2
Paolella, Marc S.
2
Poon, Aubrey
2
Rahbek, Anders
2
Schorfheide, Frank
2
Shephard, Neil G.
2
Taylor, Robert
2
Thyrsgaard, Martin
2
Urga, Giovanni
2
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Journal of econometrics
NBER working paper series
173
Working paper / National Bureau of Economic Research, Inc.
160
NBER Working Paper
155
Journal of banking & finance
109
Finance research letters
97
Economics letters
84
Journal of empirical finance
81
Discussion paper / Tinbergen Institute
80
Economic modelling
77
Discussion paper / Centre for Economic Policy Research
76
International journal of forecasting
76
International journal of theoretical and applied finance
76
Journal of financial economics
76
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of economic dynamics & control
71
Working paper
70
Journal of international money and finance
65
Energy economics
62
International review of financial analysis
60
The European journal of finance
59
Applied economics
58
International review of economics & finance : IREF
58
The review of financial studies
58
Journal of forecasting
55
Econometric reviews
51
Quantitative finance
50
Applied economics letters
48
Computational economics
47
The North American journal of economics and finance : a journal of financial economics studies
46
Journal of financial econometrics : official journal of the Society for Financial Econometrics
45
Applied mathematical finance
44
Research paper series / Swiss Finance Institute
44
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
The journal of finance : the journal of the American Finance Association
43
Finance and stochastics
42
Journal of monetary economics
41
IMF working papers
40
The journal of futures markets
40
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ECONIS (ZBW)
127
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1
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
2
Econometric estimation in long-range dependent volatility models :
theory
and practice
Casas, Isabel
;
Gao, Jiti
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
Saved in:
3
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
4
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
5
The common and specific components of dynamic volatility
Connor, Gregory
;
Korajczyk, Robert A.
;
Linton, Oliver
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
Saved in:
6
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
Saved in:
7
MCMC maximum likelihood for latent state models
Jacquier, Eric
;
Johannes, Michael
;
Polson, Nicholas G.
- In:
Journal of econometrics
137
(
2007
)
2
,
pp. 615-640
Persistent link: https://www.econbiz.de/10003442024
Saved in:
8
Nonstationary nonlinear heteroskedasticity in regression
Chung, Heetaik
;
Park, Joon Y.
- In:
Journal of econometrics
137
(
2007
)
1
,
pp. 230-259
Persistent link: https://www.econbiz.de/10003425535
Saved in:
9
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.
;
Steel, Mark F. J.
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
Saved in:
10
Structural attribution of observed volatility clustering
Granger, C. W. J.
;
Machina, Mark J.
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 15-29
Persistent link: https://www.econbiz.de/10003376075
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