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Volatility
321
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321
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201
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201
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153
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Bollerslev, Tim
19
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17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
13
Andersen, Torben
12
McAleer, Michael
9
Yu, Jun
9
Meddahi, Nour
8
Xiu, Dacheng
8
Chib, Siddhartha
7
Gouriéroux, Christian
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Gallant, A. Ronald
6
Ghysels, Eric
6
Kim, Donggyu
6
Asai, Manabu
5
Dijk, Herman K. van
5
Dufour, Jean-Marie
5
Francq, Christian
5
Hallin, Marc
5
Koop, Gary
5
Koopman, Siem Jan
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Li, Yingying
5
Li, Yong
5
Renault, Eric
5
Renò, Roberto
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Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Clark, Todd E.
4
Corradi, Valentina
4
Garcia, René
4
Hong, Han
4
Jasiak, Joann
4
Khalaf, Lynda
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Energy economics
719
Finance research letters
693
International journal of theoretical and applied finance
567
NBER working paper series
566
The journal of futures markets
548
Working paper / National Bureau of Economic Research, Inc.
541
Journal of banking & finance
522
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479
International review of financial analysis
450
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445
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399
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392
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375
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300
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299
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298
Mathematical finance : an international journal of mathematics, statistics and financial theory
297
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296
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292
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288
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281
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276
Journal of economic dynamics & control
272
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264
The journal of derivatives : the official publication of the International Association of Financial Engineers
251
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249
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249
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244
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242
Computational economics
229
The European journal of finance
226
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220
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211
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
200
Risks : open access journal
196
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ECONIS (ZBW)
465
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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
Asymptotically distribution-free tests for the
volatility
function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
3
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic
volatility
models
Durham, Garland B.
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
Saved in:
4
MCMC maximum likelihood for latent state models
Jacquier, Eric
;
Johannes, Michael
;
Polson, Nicholas G.
- In:
Journal of econometrics
137
(
2007
)
2
,
pp. 615-640
Persistent link: https://www.econbiz.de/10003442024
Saved in:
5
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic
volatility
Griffin, J. E.
;
Steel, Mark F. J.
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
Saved in:
6
Dynamic estimation of
volatility
risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
7
Probabilistic forecasts of
volatility
and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
8
Markov chain Monte Carlo methods for stochastic
volatility
models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
108
(
2002
)
2
,
pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
Saved in:
9
Estimation of stochastic
volatility
models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
10
Efficient method of moments estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
;
Chung, Hyung-Jin
;
Sørensen, Bent E.
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 61-87
Persistent link: https://www.econbiz.de/10001382157
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