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Forecasting Performance of Vol...
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Volatility
321
Volatilität
321
Forecasting model
281
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281
Theorie
238
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238
Estimation theory
179
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179
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Bollerslev, Tim
20
Todorov, Viktor
18
Tauchen, George Eugene
15
Timmermann, Allan
15
Andersen, Torben
14
Aït-Sahalia, Yacine
12
Patton, Andrew J.
12
Swanson, Norman R.
12
Taylor, Robert
11
Xiu, Dacheng
11
Ghysels, Eric
10
Clark, Todd E.
9
Diebold, Francis X.
9
Linton, Oliver
9
McAleer, Michael
9
Mykland, Per A.
9
Corradi, Valentina
8
Meddahi, Nour
8
Dijk, Herman K. van
7
Li, Jia
7
Schorfheide, Frank
7
Shephard, Neil G.
7
Cavaliere, Giuseppe
6
Elliott, Graham
6
Kim, Donggyu
6
Maheu, John M.
6
Marcellino, Massimiliano
6
McCracken, Michael W.
6
Asai, Manabu
5
Carriero, Andrea
5
Fan, Jianqing
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Li, Yingying
5
Pesaran, M. Hashem
5
Renault, Eric
5
Rossi, Barbara
5
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Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Journal of econometrics
International journal of forecasting
1,617
Journal of forecasting
902
Energy economics
854
Finance research letters
854
NBER working paper series
752
Working paper / National Bureau of Economic Research, Inc.
661
NBER Working Paper
643
Applied economics
635
The journal of futures markets
621
International review of financial analysis
584
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564
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531
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502
International review of economics & finance : IREF
478
Applied economics letters
464
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442
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432
The North American journal of economics and finance : a journal of financial economics studies
431
Journal of empirical finance
401
Applied financial economics
371
Research in international business and finance
367
Discussion paper / Tinbergen Institute
364
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
358
Technological forecasting & social change : an international journal
346
European journal of operational research : EJOR
336
Journal of international money and finance
321
International journal of theoretical and applied finance
307
CESifo working papers
305
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303
Journal of financial economics
294
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293
Computational economics
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IMF working papers
288
Quantitative finance
274
Pacific-Basin finance journal
269
ECB Working Paper
259
International Journal of Energy Economics and Policy : IJEEP
256
The European journal of finance
243
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ECONIS (ZBW)
560
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1
A multiple indicators model for
volatility
using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
2
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:
3
On implied
volatility
for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Saved in:
4
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Saved in:
5
Learning, confidence, and option prices
Shaliastovich, Ivan
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
Saved in:
6
Local parametric analysis of hedging in discrete time
Bossaerts, Peter L.
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 243-272
Persistent link: https://www.econbiz.de/10001336795
Saved in:
7
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
8
Post-'87 crash fears in the S&P 500 futures option market
Bates, David S.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
Saved in:
9
A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong
- In:
Journal of econometrics
72
(
1996
)
1
,
pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
Saved in:
10
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
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