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Estimation
499
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495
Estimation theory
346
Schätztheorie
346
Volatility
334
Volatilität
334
Theorie
308
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308
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196
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196
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151
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151
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823
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823
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Bollerslev, Tim
21
Todorov, Viktor
19
Tauchen, George Eugene
17
Andersen, Torben
13
Aït-Sahalia, Yacine
13
Francq, Christian
13
Linton, Oliver
12
Ghysels, Eric
10
McAleer, Michael
10
Gouriéroux, Christian
9
Meddahi, Nour
9
Phillips, Peter C. B.
9
Shephard, Neil G.
9
Xiu, Dacheng
9
Zakoïan, Jean-Michel
9
Gallant, A. Ronald
8
Li, Jia
8
Mykland, Per A.
8
Park, Joon Y.
8
Patton, Andrew J.
8
Su, Liangjun
8
Cavaliere, Giuseppe
7
Gao, Jiti
7
Koop, Gary
7
Li, Yingying
7
Rahbek, Anders
7
Taylor, Robert
7
Corradi, Valentina
6
Kim, Donggyu
6
Sasaki, Yuya
6
Andreou, Elena
5
Asai, Manabu
5
Bai, Jushan
5
Barigozzi, Matteo
5
Diebold, Francis X.
5
Hallin, Marc
5
Heckman, James J.
5
Hong, Yongmiao
5
Jasiak, Joann
5
Koopman, Siem Jan
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
3,534
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3,353
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3,064
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2,933
Applied economics
2,380
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1,835
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1,673
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1,650
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1,615
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1,587
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1,320
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1,286
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1,260
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1,249
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1,206
International review of financial analysis
1,201
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1,193
International review of economics & finance : IREF
1,069
Applied financial economics
1,007
The journal of finance : the journal of the American Finance Association
896
Journal of financial economics
890
Discussion paper
864
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
841
CESifo Working Paper
792
Pacific-Basin finance journal
782
Journal of international money and finance
778
Research in international business and finance
750
The North American journal of economics and finance : a journal of financial economics studies
733
Journal of international financial markets, institutions & money
692
Journal of empirical finance
670
Discussion paper / Tinbergen Institute
659
The journal of futures markets
639
Journal of financial and quantitative analysis : JFQA
608
Discussion papers / CEPR
590
ZEW discussion papers
589
CESifo Working Paper Series
584
The review of financial studies
575
IMF working papers
573
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
565
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ECONIS (ZBW)
827
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1
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:
2
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:
3
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:
4
Factor
GARCH
-Itô models for high-frequency data with application to large
volatility
matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
5
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
6
Quasi-maximum likelihood
estimation
of
volatility
with high frequency data
Xiu, Dacheng
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
Saved in:
7
Volatility
activity : specification and
estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
8
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
Saved in:
9
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
10
Stock return and cash flow predictability : the role of
volatility
risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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