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Phillips, Peter C. B.
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16
Yu, Jun
16
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15
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14
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14
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13
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12
Granger, C. W. J.
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Aït-Sahalia, Yacine
11
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11
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11
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10
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10
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10
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9
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9
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9
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9
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9
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9
Tsionas, Efthymios G.
9
Baltagi, Badi H.
8
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8
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8
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8
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8
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National Science Foundation
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Journal of econometrics
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4,955
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2,714
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2,449
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2,372
The American economic review
2,370
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2,336
Journal of economic behavior & organization : JEBO
2,227
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2,198
Europäische Hochschulschriften / 5
2,173
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1,934
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Economic theory : official journal of the Society for the Advancement of Economic Theory
1,812
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1,793
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1,762
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1,760
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1,712
Discussion paper / Center for Economic Research, Tilburg University
1,665
CESifo Working Paper Series
1,594
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1,583
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1,516
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1,513
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1,498
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1,483
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1,402
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International economic review
1,371
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1,319
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ECONIS (ZBW)
1,624
Showing
1
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10
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1
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
2
Distribution
theory
for unit root tests with conditional heteroskedasticity
Seo, Byeongseon
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 113-144
Persistent link: https://www.econbiz.de/10001382163
Saved in:
3
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
Saved in:
4
On the jump activity index for semimartingales
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
;
Mykland, Per A.
- In:
Journal of econometrics
166
(
2012
)
2
,
pp. 213-223
Persistent link: https://www.econbiz.de/10009509230
Saved in:
5
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
6
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:
7
Econometric analysis of financial derivatives
Chang, Chia-Lin
(
ed.
);
McAleer, Michael
(
ed.
)
-
2015
Persistent link: https://www.econbiz.de/10011499675
Saved in:
8
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
9
A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
Saved in:
10
Regime switching in foreign exchange rates : evidence from currency option prices
Bollen, Nicolas P. B.
;
Gray, Stephen
;
Whaley, Robert E.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 239-276
Persistent link: https://www.econbiz.de/10001437758
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