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Volatility
321
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Bollerslev, Tim
19
Todorov, Viktor
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Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
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7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
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4
Francq, Christian
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Jasiak, Joann
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Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
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4
Renò, Roberto
4
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Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
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3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
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649
Finance research letters
617
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486
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467
International review of financial analysis
420
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416
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384
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375
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368
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361
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341
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326
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266
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258
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252
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245
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242
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240
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230
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198
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194
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190
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172
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171
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169
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160
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131
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ECONIS (ZBW)
321
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1
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
2
Realized
volatility
forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
3
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze
;
Linton, Oliver
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
Saved in:
4
Econometric estimation in long-range dependent
volatility
models : theory and practice
Casas, Isabel
;
Gao, Jiti
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
Saved in:
5
Testing for a change in persistence in the presence of non-stationary
volatility
Cavaliere, Giuseppe
;
Taylor, Robert
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 84-98
Persistent link: https://www.econbiz.de/10003783787
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6
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:
7
A Gaussian approximation scheme for computation of option prices in stochastic
volatility
models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
8
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
9
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:
10
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic
volatility
models
Durham, Garland B.
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
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