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Volatility
321
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321
Theorie
145
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145
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130
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121
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Bollerslev, Tim
19
Todorov, Viktor
18
Tauchen, George Eugene
15
Andersen, Torben
13
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Xiu, Dacheng
9
Meddahi, Nour
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Shephard, Neil G.
7
Taylor, Robert
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Asai, Manabu
5
Francq, Christian
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Engle, Robert F.
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
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4
Renault, Eric
4
Renò, Roberto
4
Yang, Xiye
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Zhang, Lan
4
Andreou, Elena
3
Bandi, Federico M.
3
Calvet, Laurent E.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
NBER working paper series
1,458
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1,390
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1,198
Finance research letters
1,133
Journal of banking & finance
937
International review of financial analysis
897
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819
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807
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755
International review of economics & finance : IREF
724
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699
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680
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679
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678
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638
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586
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554
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536
The North American journal of economics and finance : a journal of financial economics studies
534
Japan and the world economy : international journal of theory and policy
531
Economics letters
530
The journal of futures markets
522
Journal of international financial markets, institutions & money
492
Research in international business and finance
489
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477
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459
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447
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433
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407
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397
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382
IMF working papers
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354
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335
Journal of risk and financial management : JRFM
326
International journal of theoretical and applied finance
307
International journal of economics and finance
289
Japan labor review
278
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ECONIS (ZBW)
370
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370
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1
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:
2
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
3
Stock return and cash flow predictability : the role of
volatility
risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
4
Option pricing with non-Gaussian scaling and infinite-state switching
volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
5
A non-linear dynamic model of the variance risk premium
Eraker, Bjørn
;
Wang, Jiakou
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 547-556
Persistent link: https://www.econbiz.de/10011499758
Saved in:
6
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
7
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
8
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
9
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
10
Is the diurnal pattern sufficient to explain intraday variation in
volatility
? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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