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Volatility
333
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333
Stochastic process
225
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225
Theorie
214
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214
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166
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Bollerslev, Tim
20
Todorov, Viktor
18
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
12
McAleer, Michael
11
Phillips, Peter C. B.
11
Taylor, Robert
10
Xiu, Dacheng
9
Li, Jia
8
Meddahi, Nour
8
Mykland, Per A.
8
Patton, Andrew J.
8
Cavaliere, Giuseppe
7
Ghysels, Eric
7
Park, Joon Y.
7
Shephard, Neil G.
7
Yu, Jun
7
Francq, Christian
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Li, Yingying
6
Linton, Oliver
6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Chang, Chia-Lin
5
Gallant, A. Ronald
5
Hallin, Marc
5
Rahbek, Anders
5
Renault, Eric
5
Zhang, Lan
5
Zhou, Hao
5
Andreou, Elena
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Engle, Robert F.
4
Jasiak, Joann
4
Lieberman, Offer
4
Ling, Shiqing
4
Maheu, John M.
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
NBER working paper series
1,436
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1,325
Finance research letters
1,278
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1,164
Journal of banking & finance
965
Applied economics
920
The Canadian journal of economics
917
International review of financial analysis
902
Energy economics
878
The journal of finance : the journal of the American Finance Association
734
International review of economics & finance : IREF
712
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711
European journal of operational research : EJOR
703
Canadian public policy : a journal for the discussion of social and economic policy in Canada
665
Canadian journal of agricultural economics : CJAE
659
Applied economics letters
629
Economics letters
619
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597
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595
Applied financial economics
572
Pacific-Basin finance journal
572
The journal of futures markets
552
Research in international business and finance
546
Discussion paper / Centre for Economic Policy Research
538
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487
International journal of theoretical and applied finance
484
The review of financial studies
484
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483
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L' Actualité économique : revue trimest.
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403
Canadian tax journal
390
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384
CESifo working papers
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369
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ECONIS (ZBW)
501
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1
High frequency market making : the role of speed
Aït-Sahalia, Yacine
;
Sağlam, Mehmet
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10015074464
Saved in:
2
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
3
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
Saved in:
4
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
5
Volatility
activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
6
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:
7
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:
8
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
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9
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:
10
Volatility
analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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