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Volatility
321
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321
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152
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152
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121
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121
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111
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111
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Bollerslev, Tim
19
Todorov, Viktor
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Tauchen, George Eugene
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12
Aït-Sahalia, Yacine
12
McAleer, Michael
10
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10
Meddahi, Nour
9
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9
Xiu, Dacheng
8
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7
Li, Jia
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
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6
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5
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5
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4
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4
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4
Francq, Christian
4
Jasiak, Joann
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Maheu, John M.
4
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4
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4
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4
Yu, Jun
4
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4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
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1,909
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1,198
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1,047
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978
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976
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ECONIS (ZBW)
371
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1
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
2
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:
3
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
4
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:
5
Does the information content of payout initiations and omissions influence firm risks?
Eije, Johan H. von
;
Goyal, Abhinav
;
Muckley, Cal
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 222-229
Persistent link: https://www.econbiz.de/10010506054
Saved in:
6
ExpectHill estimation, extreme
risk
and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
7
Mark to market value at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
8
Robust inference of risks of large portfolios
Fan, Jianqing
;
Han, Fang
;
Liu, Han
;
Vickers, Byron
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 298-308
Persistent link: https://www.econbiz.de/10011705149
Saved in:
9
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:
10
Variance trading and market price of variance
risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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