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Volatility
321
Volatilität
321
Theorie
174
Theory
174
Estimation theory
137
Schätztheorie
137
Estimation
118
Schätzung
118
Stochastic process
107
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107
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106
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106
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89
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76
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English
408
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Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
13
Andersen, Torben
12
Xiu, Dacheng
10
McAleer, Michael
9
Linton, Oliver
8
Meddahi, Nour
8
Mykland, Per A.
8
Patton, Andrew J.
8
Li, Jia
7
Li, Yingying
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Gallant, A. Ronald
6
Ghysels, Eric
6
Kim, Donggyu
6
Sentana, Enrique
6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Fan, Jianqing
5
Francq, Christian
5
Gouriéroux, Christian
5
Hallin, Marc
5
Park, Joon Y.
5
Taylor, Robert
5
Zhou, Hao
5
Amengual, Dante
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Härdle, Wolfgang
4
Jasiak, Joann
4
Jensen, Mark J.
4
Maheu, John M.
4
Quaedvlieg, Rogier
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
NBER working paper series
1,724
Working paper / National Bureau of Economic Research, Inc.
1,520
Finance research letters
1,484
Journal of banking & finance
1,416
NBER Working Paper
1,289
International review of financial analysis
1,072
Applied economics
856
Energy economics
854
International review of economics & finance : IREF
817
Discussion paper / Centre for Economic Policy Research
816
Journal of financial economics
729
Economic modelling
715
Applied economics letters
652
The North American journal of economics and finance : a journal of financial economics studies
631
The review of financial studies
610
Working paper
608
The journal of futures markets
598
Journal of empirical finance
590
Economics letters
589
Pacific-Basin finance journal
583
Applied financial economics
569
The journal of finance : the journal of the American Finance Association
563
Research in international business and finance
550
Journal of international financial markets, institutions & money
546
IMF working papers
527
Journal of international money and finance
515
CESifo working papers
514
Journal of economic dynamics & control
506
European journal of operational research : EJOR
498
International journal of theoretical and applied finance
494
The European journal of finance
485
Journal of financial and quantitative analysis : JFQA
484
Management science : journal of the Institute for Operations Research and the Management Sciences
461
Journal of risk and financial management : JRFM
437
Research paper series / Swiss Finance Institute
431
Insurance / Mathematics & economics
428
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
420
Discussion paper / Tinbergen Institute
411
Quantitative finance
402
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ECONIS (ZBW)
408
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1
The nonlinear price dynamics of US equity
ETFs
Caginalp, Gunduz
;
DeSantis, Mark
;
Sayrak, Akin
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 193-201
Persistent link: https://www.econbiz.de/10010506060
Saved in:
2
A coupled component DCS-EGARCH model for intraday and overnight
volatility
Linton, Oliver
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
Saved in:
3
Robust score and portmanteau tests of
volatility
spillover
Aguilar, Mike
;
Hill, Jonathan B.
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 37-61
Persistent link: https://www.econbiz.de/10011326820
Saved in:
4
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:
5
Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi
;
Lundblad, Christian
- In:
Journal of econometrics
109
(
2002
)
2
,
pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
Saved in:
6
Modeling the interdependence of
volatility
and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
- In:
Journal of econometrics
106
(
2002
)
2
,
pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
Saved in:
7
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
8
Threshold bipower variation and the impact of jumps on
volatility
forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
- In:
Journal of econometrics
159
(
2010
)
2
,
pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
Saved in:
9
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
10
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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