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Theorie
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503
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405
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405
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321
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Phillips, Peter C. B.
37
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21
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19
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19
Ghysels, Eric
18
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18
McAleer, Michael
18
Swanson, Norman R.
18
Tauchen, George Eugene
18
Yu, Jun
17
Aït-Sahalia, Yacine
16
Koop, Gary
16
Lee, Lung-fei
16
Pesaran, M. Hashem
16
Taylor, Robert
15
Andersen, Torben
14
Corradi, Valentina
14
Diebold, Francis X.
14
Park, Joon Y.
13
Schmidt, Peter
13
Slottje, Daniel Jonathan
13
Chib, Siddhartha
12
Dufour, Jean-Marie
12
Granger, C. W. J.
12
Patton, Andrew J.
12
Renault, Eric
12
Timmermann, Allan
12
Xiao, Zhijie
12
Mykland, Per A.
11
Sickles, Robin C.
11
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11
Xiu, Dacheng
11
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10
Hsiao, Cheng
10
Whang, Yoon-jae
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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(EC)2 Conference <1, 1990; 2, 1991>
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1
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1
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Journal of econometrics
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8,302
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6,284
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5,273
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4,013
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3,105
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2,946
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2,909
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2,720
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2,672
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2,601
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2,519
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2,411
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2,252
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2,248
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2,148
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2,137
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2,120
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2,117
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2,114
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2,086
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2,069
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ECONIS (ZBW)
1,959
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1
The nonlinear price dynamics of US equity ETFs
Caginalp, Gunduz
;
DeSantis, Mark
;
Sayrak, Akin
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 193-201
Persistent link: https://www.econbiz.de/10010506060
Saved in:
2
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:
3
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic
volatility
Griffin, J. E.
;
Steel, Mark F. J.
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
Saved in:
4
The detection and estimation of long memory in stochastic
volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
Saved in:
5
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
6
Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi
;
Lundblad, Christian
- In:
Journal of econometrics
109
(
2002
)
2
,
pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
Saved in:
7
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
8
Causality effects in return
volatility
measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
9
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:
10
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
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