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Toward conditional risk parity...
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Volatility
333
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333
Theorie
182
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182
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145
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145
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118
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118
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Bollerslev, Tim
21
Todorov, Viktor
18
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
13
Andersen, Torben
12
Patton, Andrew J.
11
Mykland, Per A.
10
Xiu, Dacheng
10
McAleer, Michael
9
Li, Jia
8
Li, Yingying
8
Linton, Oliver
8
Meddahi, Nour
8
Diebold, Francis X.
7
Ghysels, Eric
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Sentana, Enrique
6
Asai, Manabu
5
Carriero, Andrea
5
Francq, Christian
5
Hallin, Marc
5
Renault, Eric
5
Renò, Roberto
5
Taylor, Robert
5
Zakoïan, Jean-Michel
5
Zheng, Xinghua
5
Zhou, Hao
5
Amengual, Dante
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Chen, Rong
4
Engle, Robert F.
4
Jasiak, Joann
4
Maheu, John M.
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
NBER working paper series
1,351
Finance research letters
1,272
Journal of banking & finance
1,231
Working paper / National Bureau of Economic Research, Inc.
1,204
NBER Working Paper
1,047
Energy economics
822
International review of financial analysis
805
Applied economics
694
European journal of operational research : EJOR
646
International review of economics & finance : IREF
630
Discussion paper / Centre for Economic Policy Research
606
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592
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584
International journal of theoretical and applied finance
559
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554
The North American journal of economics and finance : a journal of financial economics studies
523
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519
Economics letters
516
SpringerLink / Bücher
511
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510
The journal of futures markets
492
IMF Staff Country Reports
491
Research in international business and finance
486
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484
Applied economics letters
483
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476
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465
Journal of international money and finance
462
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440
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434
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419
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415
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407
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397
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396
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373
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366
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354
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ECONIS (ZBW)
443
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1
Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Egorov, Alexej V.
;
Hong, Yongmiao
;
Li, Haitao
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 255-284
Persistent link: https://www.econbiz.de/10003376084
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
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:
4
Volatility
prediction comparison via robust
volatility
proxies : an empirical deviation perspective
Wang, Weichen
;
An, Ran
;
Zhu, Ziwei
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10015074492
Saved in:
5
Scenario generation for long run interest rate risk assessment
Engle, Robert F.
;
Roussellet, Guillaume
;
Siriwardane, …
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 333-347
Persistent link: https://www.econbiz.de/10011920512
Saved in:
6
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Saved in:
7
Estimation of affine term structure models with spanned or unspanned stochastic
volatility
Creal, Drew
;
Wu, Jing Cynthia
- In:
Journal of econometrics
185
(
2015
)
1
,
pp. 60-81
Persistent link: https://www.econbiz.de/10011339903
Saved in:
8
Asymptotically distribution-free tests for the
volatility
function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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9
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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10
The surprise element: jumps in interest rates
Das, Sanjiv R.
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 27-65
Persistent link: https://www.econbiz.de/10001633688
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