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Subject
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Volatility
321
Volatilität
321
Estimation theory
174
Schätztheorie
174
Theorie
172
Theory
172
Time series analysis
126
Zeitreihenanalyse
126
Estimation
118
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117
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114
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114
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110
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110
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71
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71
Kapitaleinkommen
71
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71
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70
ARCH-Modell
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Börsenkurs
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Share price
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Option pricing theory
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Optionspreistheorie
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Nichtparametrisches Verfahren
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46
Market microstructure
41
Marktmikrostruktur
41
Statistical distribution
40
Statistische Verteilung
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37
Statistischer Test
37
Stochastic volatility
34
CAPM
28
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26
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Undetermined
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Article in journal
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Collection of articles of several authors
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English
457
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Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
13
Andersen, Torben
12
McAleer, Michael
10
Meddahi, Nour
8
Xiu, Dacheng
8
Zhang, Xinyu
8
Gouriéroux, Christian
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Yu, Jun
6
Asai, Manabu
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Nielsen, Morten Ørregaard
5
Park, Joon Y.
5
Renault, Eric
5
Renò, Roberto
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Corradi, Valentina
4
Fan, Jianqing
4
Francq, Christian
4
Hong, Yongmiao
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Monfort, Alain
4
Rahbek, Anders
4
Swanson, Norman R.
4
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Conference on Realized Volatility <2006, Montréal>
1
International Symposium on Econometrics of Specification Test in 30 Years <2010, Xiamen>
1
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Journal of econometrics
Energy economics
847
Finance research letters
738
The journal of futures markets
705
NBER working paper series
624
Working paper / National Bureau of Economic Research, Inc.
580
International journal of theoretical and applied finance
565
Journal of banking & finance
555
NBER Working Paper
519
International review of financial analysis
486
Applied economics
470
Economic modelling
431
International review of economics & finance : IREF
426
The North American journal of economics and finance : a journal of financial economics studies
385
Working paper
356
Applied economics letters
325
Economics letters
321
Research in international business and finance
320
Applied financial economics
318
Discussion paper / Centre for Economic Policy Research
313
Journal of empirical finance
307
Quantitative finance
301
Mathematical finance : an international journal of mathematics, statistics and financial theory
296
Applied mathematical finance
290
Journal of economic dynamics & control
274
Journal of international money and finance
271
The journal of computational finance
271
Discussion paper / Tinbergen Institute
270
Finance and stochastics
258
Journal of financial economics
253
Journal of international financial markets, institutions & money
253
The journal of derivatives : the official publication of the International Association of Financial Engineers
250
Journal of risk and financial management : JRFM
241
The European journal of finance
232
CESifo working papers
212
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
210
Computational economics
204
IMF working papers
201
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
201
European journal of operational research : EJOR
196
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ECONIS (ZBW)
457
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1
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457
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1
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
2
Modelling and measuring price discovery in commodity markets
Figuerola-Ferretti, Isabel
;
Gonzalo, Jesús
- In:
Journal of econometrics
158
(
2010
)
1
,
pp. 95-107
Persistent link: https://www.econbiz.de/10008826873
Saved in:
3
Bayesian analysis of contingent claim model error
Jacquier, Eric
;
Jarrow, Robert A.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 145-180
Persistent link: https://www.econbiz.de/10001437752
Saved in:
4
Econometric estimation in long-range dependent
volatility
models : theory and practice
Casas, Isabel
;
Gao, Jiti
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
Saved in:
5
Testing the parametric form of the
volatility
in continuous time diffusion models : a stochastic process approach
Dette, Holger
;
Podolskij, Mark
- In:
Journal of econometrics
143
(
2008
)
1
,
pp. 56-73
Persistent link: https://www.econbiz.de/10003722591
Saved in:
6
Joint and marginal specification tests for conditional mean and variance models
Escanciano, J. Carlos
- In:
Journal of econometrics
143
(
2008
)
1
,
pp. 74-87
Persistent link: https://www.econbiz.de/10003722592
Saved in:
7
Volatility
puzzles: a simple framework for gauging return-
volatility
regressions
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 123-150
Persistent link: https://www.econbiz.de/10003298567
Saved in:
8
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
9
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
10
Realized
volatility
forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
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