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Volatility
333
Volatilität
333
Theorie
216
Theory
216
Estimation theory
189
Schätztheorie
189
ARCH model
151
ARCH-Modell
151
Time series analysis
147
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147
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Bollerslev, Tim
21
Todorov, Viktor
19
Tauchen, George Eugene
16
Andersen, Torben
13
Aït-Sahalia, Yacine
13
Francq, Christian
13
Xiu, Dacheng
11
McAleer, Michael
10
Meddahi, Nour
9
Mykland, Per A.
9
Taylor, Robert
9
Zakoïan, Jean-Michel
9
Ghysels, Eric
8
Li, Jia
8
Patton, Andrew J.
8
Shephard, Neil G.
8
Li, Yingying
7
Bandi, Federico M.
6
Cavaliere, Giuseppe
6
Corradi, Valentina
6
Engle, Robert F.
6
Gallant, A. Ronald
6
Kim, Donggyu
6
Park, Joon Y.
6
Renault, Eric
6
Andreou, Elena
5
Asai, Manabu
5
Diebold, Francis X.
5
Gouriéroux, Christian
5
Hallin, Marc
5
Laurent, Sébastien
5
Ling, Shiqing
5
Linton, Oliver
5
Maheu, John M.
5
Rahbek, Anders
5
Sentana, Enrique
5
Zaffaroni, Paolo
5
Zhang, Lan
5
Zhou, Hao
5
Zhu, Ke
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
NBER working paper series
1,278
Finance research letters
1,213
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1,186
Journal of banking & finance
1,040
NBER Working Paper
991
International review of financial analysis
883
Energy economics
777
Journal of financial economics
737
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710
International review of economics & finance : IREF
665
The journal of finance : the journal of the American Finance Association
651
Journal of empirical finance
644
Applied financial economics
619
Economic modelling
556
The review of financial studies
540
Economics letters
534
Applied economics letters
531
The North American journal of economics and finance : a journal of financial economics studies
531
Pacific-Basin finance journal
529
Research in international business and finance
521
The journal of futures markets
512
Journal of international financial markets, institutions & money
494
Discussion paper / Centre for Economic Policy Research
473
The European journal of finance
429
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426
Journal of financial and quantitative analysis : JFQA
416
Journal of international money and finance
412
Review of quantitative finance and accounting
386
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
372
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371
International journal of theoretical and applied finance
346
Journal of risk and financial management : JRFM
340
Discussion paper / Tinbergen Institute
311
Research paper series / Swiss Finance Institute
303
CESifo working papers
296
Management science : journal of the Institute for Operations Research and the Management Sciences
293
Quantitative finance
286
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
278
International journal of economics and finance
277
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ECONIS (ZBW)
533
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1
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:
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
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:
4
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
Saved in:
5
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:
6
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
7
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:
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
Saved in:
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
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
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