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Volatility
321
Volatilität
321
Theorie
179
Theory
179
Estimation theory
152
Schätztheorie
152
Time series analysis
142
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142
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125
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117
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117
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36
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Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Ghysels, Eric
8
Meddahi, Nour
8
Xiu, Dacheng
8
Gouriéroux, Christian
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Koop, Gary
6
Marcellino, Massimiliano
6
Rahbek, Anders
6
Saikkonen, Pentti
6
Shephard, Neil G.
6
Taylor, Robert
6
Asai, Manabu
5
Boswijk, Herman Peter
5
Francq, Christian
5
Gallant, A. Ronald
5
Hallin, Marc
5
Jasiak, Joann
5
Kilian, Lutz
5
Li, Yingying
5
Nielsen, Morten Ørregaard
5
Pesaran, M. Hashem
5
Schorfheide, Frank
5
Zakoïan, Jean-Michel
5
Zhou, Hao
5
Barigozzi, Matteo
4
Carriero, Andrea
4
Inoue, Atsushi
4
Laurent, Sébastien
4
Linton, Oliver
4
Lütkepohl, Helmut
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Energy economics
1,289
Finance research letters
675
NBER working paper series
613
Working paper / National Bureau of Economic Research, Inc.
610
Applied economics
606
Economic modelling
578
NBER Working Paper
522
International Journal of Energy Economics and Policy : IJEEP
497
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484
International review of financial analysis
469
International review of economics & finance : IREF
463
Discussion paper / Centre for Economic Policy Research
439
Journal of banking & finance
423
Economics letters
416
The journal of futures markets
390
The North American journal of economics and finance : a journal of financial economics studies
389
Applied economics letters
376
Journal of international money and finance
373
CESifo working papers
354
IMF working papers
328
Research in international business and finance
299
Applied financial economics
290
Journal of empirical finance
282
Journal of international financial markets, institutions & money
281
Working paper series / European Central Bank
275
ECB Working Paper
265
International journal of theoretical and applied finance
252
Journal of economic dynamics & control
247
Discussion paper / Tinbergen Institute
238
International journal of forecasting
238
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
234
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
230
Journal of risk and financial management : JRFM
228
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
215
MPRA Paper
209
Quantitative finance
197
CAMA working paper series
194
International journal of finance & economics : IJFE
191
Journal of financial economics
189
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ECONIS (ZBW)
433
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1
Inference on impulse response functions in structural VAR models
Inoue, Atsushi
;
Kilian, Lutz
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10010189887
Saved in:
2
Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano
;
Sivec, Vasja
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
Saved in:
3
Testing for co-integration in vector autoregressions with non-stationary
volatility
Cavaliere, Giuseppe
;
Rahbek, Anders
;
Taylor, Robert
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 7-24
Persistent link: https://www.econbiz.de/10008826880
Saved in:
4
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
5
Using time-varying
volatility
for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
6
Large Bayesian vector autoregressions with stochastic
volatility
and non-conjugate priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
Saved in:
7
A quasi-Bayesian local likelihood approach to time varying parameter VAR models
Petrova, Katerina
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 286-306
Persistent link: https://www.econbiz.de/10012303932
Saved in:
8
Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
Saved in:
9
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
10
Comment on "Large Bayesian vector autoregressions with stochastic
volatility
and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
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