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Theorie
1,608
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1,608
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517
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517
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404
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404
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321
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248
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178
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Phillips, Peter C. B.
37
Bollerslev, Tim
21
Ghysels, Eric
19
Linton, Oliver
19
Todorov, Viktor
19
Gouriéroux, Christian
18
Swanson, Norman R.
18
Tauchen, George Eugene
18
McAleer, Michael
17
Yu, Jun
17
Aït-Sahalia, Yacine
16
Koop, Gary
16
Lee, Lung-fei
16
Taylor, Robert
15
Andersen, Torben
14
Corradi, Valentina
14
Pesaran, M. Hashem
14
Chib, Siddhartha
13
Diebold, Francis X.
13
Francq, Christian
13
Granger, C. W. J.
12
Park, Joon Y.
12
Patton, Andrew J.
12
Schmidt, Peter
12
Xiao, Zhijie
12
Zakoïan, Jean-Michel
12
Dufour, Jean-Marie
11
Mykland, Per A.
11
Renault, Eric
11
Steel, Mark F. J.
11
Timmermann, Allan
11
Xiu, Dacheng
11
Gallant, A. Ronald
10
Hidalgo, Javier
10
Hong, Yongmiao
10
Hsiao, Cheng
10
Tsionas, Efthymios G.
10
Whang, Yoon-jae
10
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9
Li, Qi
9
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(EC)2 Conference <1, 1990; 2, 1991>
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
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Conference on Realized Volatility <2006, Montréal>
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National Bureau of Economic Research
1
National Science Foundation
1
Sir Clive Granger Memorial Conference <2010, Nottingham>
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
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Journal of econometrics
NBER working paper series
7,519
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7,149
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6,783
Economics letters
5,556
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5,065
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4,748
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3,804
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3,036
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2,900
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2,545
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2,521
The American economic review
2,424
Computers & operations research : and their applications to problems of world concern ; an international journal
2,338
Journal of economic behavior & organization : JEBO
2,268
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2,258
Europäische Hochschulschriften / 5
2,168
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2,078
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2,070
Journal of banking & finance
2,062
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1,955
International journal of production research
1,953
CESifo Working Paper
1,950
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1,863
Discussion paper
1,857
Economic theory : official journal of the Society for the Advancement of Economic Theory
1,817
The economic journal : the journal of the Royal Economic Society
1,806
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1,777
Journal of public economics
1,755
Finance research letters
1,702
Discussion paper / Center for Economic Research, Tilburg University
1,687
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1,675
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1,672
Management science : journal of the Institute for Operations Research and the Management Sciences
1,647
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1,537
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1,524
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1,463
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ECONIS (ZBW)
1,888
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1
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1
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:
2
Bad environments, good environments : a non-Gaussian asymmetric
volatility
model
Bekaert, Geert
;
Engstrom, Eric
;
Ermolov, Andrey
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 258-275
Persistent link: https://www.econbiz.de/10011349501
Saved in:
3
Empirical evidence on the importance of aggregation, asymmetry, and jumps for
volatility
prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
4
Temporal aggregation of
volatility
models
Meddahi, Nour
;
Renault, Eric
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Saved in:
5
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
6
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
7
A simple joint model for returns,
volatility
and
volatility
of
volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
8
Score-driven models for realized
volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
9
No-arbitrage semi-martingale restrictions for continuous-time
volatility
models subject to leverage effects, jumps and iid noise :
theory
and testable distributional implications
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
- In:
Journal of econometrics
138
(
2007
)
1
,
pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
Saved in:
10
High-frequency returns, jumps and the mixture of normals hypothesis
Fleming, Jeff
;
Paye, Bradley S.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 119-128
Persistent link: https://www.econbiz.de/10009242531
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