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Volatility
333
Volatilität
333
Theorie
162
Theory
162
Estimation theory
149
Schätztheorie
149
Capital income
142
Kapitaleinkommen
142
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131
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131
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116
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92
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Bollerslev, Tim
20
Todorov, Viktor
19
Tauchen, George Eugene
16
Andersen, Torben
13
Aït-Sahalia, Yacine
12
Xiu, Dacheng
11
McAleer, Michael
9
Meddahi, Nour
9
Taylor, Robert
9
Li, Jia
8
Mykland, Per A.
8
Patton, Andrew J.
8
Li, Yingying
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Gallant, A. Ronald
6
Ghysels, Eric
6
Kim, Donggyu
6
Linton, Oliver
6
Asai, Manabu
5
Bandi, Federico M.
5
Diebold, Francis X.
5
Francq, Christian
5
Gouriéroux, Christian
5
Hallin, Marc
5
Timmermann, Allan
5
Zakoïan, Jean-Michel
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Corradi, Valentina
4
Demetrescu, Matei
4
Fan, Jianqing
4
Jasiak, Joann
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Rodrigues, Paulo M. M.
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
NBER working paper series
1,345
Finance research letters
1,310
Working paper / National Bureau of Economic Research, Inc.
1,268
NBER Working Paper
1,051
Texto para discussão / Instituto de Pesquisa Econômica Aplicada
1,015
International review of financial analysis
998
Journal of banking & finance
960
Applied economics
857
Energy economics
816
International review of economics & finance : IREF
753
Applied financial economics
717
Applied economics letters
662
Pacific-Basin finance journal
642
Journal of financial economics
638
Research in international business and finance
621
Revista brasileira de economia : RBE ; revista da Escola de Pós-Graduação em Economia da Fundação Getúlio Vargas
612
Journal of empirical finance
606
Economic modelling
588
The North American journal of economics and finance : a journal of financial economics studies
578
Journal of international financial markets, institutions & money
555
Discussion paper / Centre for Economic Policy Research
529
The journal of finance : the journal of the American Finance Association
523
Pesquisa e planejamento econômico : PPE
500
Working paper
500
Brazilian journal of political economy
487
Economics letters
475
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
451
The journal of futures markets
435
The European journal of finance
434
Journal of international money and finance
422
The review of financial studies
418
IMF Working Papers
410
Estudos econômicos : publicação trimestral do Departamento de Economia da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo
406
International journal of economics and finance
400
Review of quantitative finance and accounting
386
Journal of financial and quantitative analysis : JFQA
382
Journal of risk and financial management : JRFM
370
IMF working papers
356
MPRA Paper
353
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ECONIS (ZBW)
416
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1
Forecasting multivariate realized stock market
volatility
Bauer, Gregory H.
;
Vorkink, Keith
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
Saved in:
2
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
Saved in:
3
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
4
Climate risks and market efficiency
Hong, Harrison G.
;
Li, Frank Weikai
;
Xu, Jiangmin
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Saved in:
5
High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Feng, Long
;
Lan, Wei
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 152-175
Persistent link: https://www.econbiz.de/10013441842
Saved in:
6
A discrete-time model for daily S & P500 returns and realized variations : jumps and leverage effects
Bollerslev, Tim
;
Kretschmer, Uta
;
Pigorsch, Christian
; …
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 151-166
Persistent link: https://www.econbiz.de/10003858496
Saved in:
7
The conditional autoregressive Wishart model for multivariate stock market
volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
Saved in:
8
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
9
Predicting
volatility
: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
Saved in:
10
Breaks and persistency: macroeconomic causes of stock market
volatility
Beltratti, Andrea
;
Morana, Claudio
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 151-177
Persistent link: https://www.econbiz.de/10003298570
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