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Volatility
321
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321
Theorie
235
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235
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189
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189
Statistical distribution
169
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169
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147
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147
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142
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Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
14
Andersen, Torben
13
Francq, Christian
12
McAleer, Michael
12
Park, Joon Y.
11
Meddahi, Nour
9
Patton, Andrew J.
9
Zakoïan, Jean-Michel
9
Ghysels, Eric
8
Linton, Oliver
8
Mykland, Per A.
8
Xiu, Dacheng
8
Corradi, Valentina
7
Gouriéroux, Christian
7
Li, Jia
7
Ling, Shiqing
7
Maheu, John M.
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Dufour, Jean-Marie
6
Kim, Donggyu
6
Renault, Eric
6
Zhu, Ke
6
Asai, Manabu
5
Chang, Chia-Lin
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Rahbek, Anders
5
Renò, Roberto
5
Sentana, Enrique
5
Swanson, Norman R.
5
Taylor, Robert
5
Zaffaroni, Paolo
5
Zhou, Hao
5
Amengual, Dante
4
Andreou, Elena
4
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
1
Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance research letters
763
Energy economics
738
Journal of banking & finance
597
International journal of theoretical and applied finance
593
The journal of futures markets
581
NBER working paper series
576
Working paper / National Bureau of Economic Research, Inc.
550
International review of financial analysis
500
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497
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493
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443
International review of economics & finance : IREF
427
Economics letters
413
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403
Discussion paper / Tinbergen Institute
360
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352
Insurance / Mathematics & economics
352
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350
Journal of empirical finance
345
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345
Research in international business and finance
339
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318
Mathematical finance : an international journal of mathematics, statistics and financial theory
300
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295
Journal of international financial markets, institutions & money
286
Discussion paper / Centre for Economic Policy Research
285
Journal of economic dynamics & control
277
The journal of computational finance
273
The European journal of finance
272
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266
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
265
Finance and stochastics
264
Journal of risk and financial management : JRFM
261
The journal of derivatives : the official publication of the International Association of Financial Engineers
256
Risks : open access journal
247
International journal of forecasting
245
Journal of financial economics
245
European journal of operational research : EJOR
230
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229
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ECONIS (ZBW)
553
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1
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:
2
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:
3
Robust score and portmanteau tests of
volatility
spillover
Aguilar, Mike
;
Hill, Jonathan B.
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
Saved in:
4
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
Saved in:
5
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
6
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:
7
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
8
Score-driven models for realized
volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
9
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
Saved in:
10
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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