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Journal of econometrics
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ECONIS (ZBW)
2,155
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1
The conditional autoregressive Wishart model for multivariate stock market
volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
Saved in:
2
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
3
Testing for non-correlation between price and
volatility
jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
4
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
5
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
6
Forecasting multivariate realized stock market
volatility
Bauer, Gregory H.
;
Vorkink, Keith
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
Saved in:
7
Climate risks and market efficiency
Hong, Harrison G.
;
Li, Frank Weikai
;
Xu, Jiangmin
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Saved in:
8
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:
9
The VIX, the variance premium and stock market
volatility
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
Saved in:
10
Nonparametric
estimation
and inference for conditional density based Granger causality measures
Taamouti, Abderrahim
;
Bouezmarni, Taoufik
;
El Ghouch, Anouar
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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