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Volatility spillovers and cont...
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Volatility
321
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321
Theorie
148
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148
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125
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115
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115
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Bollerslev, Tim
19
Todorov, Viktor
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Tauchen, George Eugene
15
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14
Aït-Sahalia, Yacine
11
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9
Xiu, Dacheng
9
Ghysels, Eric
8
Meddahi, Nour
8
Gouriéroux, Christian
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Renault, Eric
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Shephard, Neil G.
6
Taylor, Robert
6
Asai, Manabu
5
Engle, Robert F.
5
Gallant, A. Ronald
5
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Li, Yingying
5
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5
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4
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4
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4
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4
Monfort, Alain
4
Park, Joon Y.
4
Rahbek, Anders
4
Renò, Roberto
4
Yu, Jun
4
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3
Bandi, Federico M.
3
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
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ECONIS (ZBW)
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USB Cologne (EcoSocSci)
1
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1
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
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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
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3
Dynamics and heterogeneity of subjective stock market expectations
Heiss, Florian
;
Hurd, Michael D.
;
Rooij, Maarten van
; …
- In:
Journal of econometrics
231
(
2022
)
1
,
pp. 213-231
Persistent link: https://www.econbiz.de/10013441982
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4
Robust score and portmanteau tests of volatility spillover
Aguilar, Mike
;
Hill, Jonathan B.
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
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5
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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6
Economic tracking portfolios
Lamont, Owen A.
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
Saved in:
7
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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8
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
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9
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
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10
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
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