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Volatility, trading volume and...
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Volatility
321
Volatilität
321
Theorie
164
Theory
164
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147
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147
Estimation theory
145
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145
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Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Francq, Christian
12
Aït-Sahalia, Yacine
11
McAleer, Michael
11
Zakoïan, Jean-Michel
9
Ghysels, Eric
8
Gouriéroux, Christian
8
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Park, Joon Y.
6
Asai, Manabu
5
Corradi, Valentina
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Ling, Shiqing
5
Maheu, John M.
5
Monfort, Alain
5
Rahbek, Anders
5
Renault, Eric
5
Taylor, Robert
5
Zaffaroni, Paolo
5
Zhou, Hao
5
Zhu, Ke
5
Andreou, Elena
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Jasiak, Joann
4
Laurent, Sébastien
4
Linton, Oliver
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
The journal of futures markets
790
Energy economics
782
Finance research letters
739
Journal of banking & finance
630
NBER working paper series
581
Working paper / National Bureau of Economic Research, Inc.
564
International review of financial analysis
535
NBER Working Paper
489
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488
International review of economics & finance : IREF
452
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422
International journal of theoretical and applied finance
388
The North American journal of economics and finance : a journal of financial economics studies
385
Applied financial economics
372
Research in international business and finance
359
Economics letters
354
Journal of empirical finance
349
Applied economics letters
331
Working paper
330
Journal of international financial markets, institutions & money
309
Journal of financial economics
291
Discussion paper / Centre for Economic Policy Research
283
Journal of international money and finance
274
Discussion paper / Tinbergen Institute
262
The European journal of finance
262
MPRA Paper
258
Journal of risk and financial management : JRFM
251
Quantitative finance
249
Pacific-Basin finance journal
247
The journal of finance : the journal of the American Finance Association
237
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
224
The review of financial studies
206
Journal of economic dynamics & control
201
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
199
International Journal of Energy Economics and Policy : IJEEP
194
CESifo working papers
192
IMF working papers
190
International journal of forecasting
189
Journal of financial and quantitative analysis : JFQA
185
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ECONIS (ZBW)
413
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1
Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni
;
Fusari, Nicola
;
Mira, Antonietta
; …
- In:
Journal of econometrics
216
(
2020
)
2
,
pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
Saved in:
2
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
3
Resolution of policy uncertainty and sudden declines in
volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
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
Risk-parameter estimation in
volatility
models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
6
Option pricing with non-Gaussian scaling and infinite-state switching
volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
7
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
8
A coupled component DCS-EGARCH model for intraday and overnight
volatility
Linton, Oliver
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
Saved in:
9
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
10
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
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