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Theorie
1,645
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1,645
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540
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540
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415
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415
Volatility
333
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333
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259
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259
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181
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181
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179
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179
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177
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103
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101
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101
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98
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98
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94
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94
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94
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94
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Phillips, Peter C. B.
38
Bollerslev, Tim
22
Gouriéroux, Christian
19
Linton, Oliver
19
Todorov, Viktor
19
Aït-Sahalia, Yacine
18
Ghysels, Eric
18
Swanson, Norman R.
18
Tauchen, George Eugene
18
Yu, Jun
18
McAleer, Michael
17
Koop, Gary
16
Lee, Lung-fei
16
Pesaran, M. Hashem
14
Andersen, Torben
13
Corradi, Valentina
13
Granger, C. W. J.
13
Patton, Andrew J.
13
Chib, Siddhartha
12
Diebold, Francis X.
12
Mykland, Per A.
12
Renault, Eric
12
Schmidt, Peter
12
Taylor, Robert
12
Timmermann, Allan
12
Xiao, Zhijie
12
Dufour, Jean-Marie
11
Hong, Yongmiao
11
Park, Joon Y.
11
Steel, Mark F. J.
11
Xiu, Dacheng
11
Gallant, A. Ronald
10
Hsiao, Cheng
10
Maasoumi, Esfandiar
10
Ng, Serena
10
Whang, Yoon-jae
10
Dijk, Herman K. van
9
Francq, Christian
9
Khalaf, Lynda
9
Kohn, Robert
9
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(EC)2 Conference <1, 1990; 2, 1991>
1
Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
1
Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
1
National Science Foundation
1
Sir Clive Granger Memorial Conference <2010, Nottingham>
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
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Journal of econometrics
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2,680
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2,604
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2,491
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2,411
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2,385
Computers & operations research : and their applications to problems of world concern ; an international journal
2,384
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2,278
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2,210
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2,039
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1,889
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1,852
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1,839
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1,838
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1,820
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1,817
Management science : journal of the Institute for Operations Research and the Management Sciences
1,793
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1,736
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ECONIS (ZBW)
1,950
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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
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:
3
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
4
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:
5
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:
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
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
8
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:
9
Residual
risk
revisited
Lehmann, Bruce Neal
- In:
Journal of econometrics
45
(
1990
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10001332079
Saved in:
10
Intraday Value-at-
Risk
: an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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