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Volatility
321
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321
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132
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Bollerslev, Tim
19
Todorov, Viktor
17
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15
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12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
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7
Mykland, Per A.
7
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7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Clark, Todd E.
4
Corradi, Valentina
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
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Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
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4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
NBER working paper series
965
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891
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828
Energy economics
688
Finance research letters
666
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601
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569
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479
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474
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465
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ECONIS (ZBW)
334
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1
A Gaussian approximation scheme for computation of option prices in stochastic
volatility
models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
2
A semiparametric GARCH model for foreign exchange
volatility
Yang, Lijian
- In:
Journal of econometrics
130
(
2006
)
2
,
pp. 365-384
Persistent link: https://www.econbiz.de/10003277973
Saved in:
3
The role of implied
volatility
in forecasting future realized
volatility
and jumps in foreign exchange, stock, and bond markets
Busch, Thomas
;
Christensen, Bent Jesper
;
Nielsen, …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 48-57
Persistent link: https://www.econbiz.de/10009242554
Saved in:
4
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
Saved in:
5
Volatility
comovement: a multifrequency approach
Calvet, Laurent E.
;
Fisher, Adlai
;
Thompson, Samuel B.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 179-215
Persistent link: https://www.econbiz.de/10003298573
Saved in:
6
Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
Osiewalski, Jacek
;
Pipień, Mateusz
- In:
Journal of econometrics
123
(
2004
)
2
,
pp. 371-391
Persistent link: https://www.econbiz.de/10002361773
Saved in:
7
Semiparametric estimation of long-memory
volatility
dependencies : the role of high-frequency data
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
Journal of econometrics
98
(
2000
)
1
,
pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
Saved in:
8
Estimating stochastic
volatility
diffusion using conditional moments of integrated
volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
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9
Testing for a slowly changing level with special reference to stochastic
volatility
Harvey, Andrew C.
- In:
Journal of econometrics
87
(
1998
)
1
,
pp. 167-189
Persistent link: https://www.econbiz.de/10001248302
Saved in:
10
Local polynomial estimators of the
volatility
function in nonparametric autoregression
Härdle, Wolfgang
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
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