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Phillips, Peter C. B.
40
Bollerslev, Tim
21
Linton, Oliver
21
Ghysels, Eric
19
Gouriéroux, Christian
19
Swanson, Norman R.
18
Tauchen, George Eugene
18
Todorov, Viktor
18
Aït-Sahalia, Yacine
17
McAleer, Michael
17
Yu, Jun
17
Koop, Gary
16
Lee, Lung-fei
16
Park, Joon Y.
16
Pesaran, M. Hashem
14
Andersen, Torben
13
Corradi, Valentina
13
Patton, Andrew J.
13
Taylor, Robert
13
Chib, Siddhartha
12
Diebold, Francis X.
12
Dufour, Jean-Marie
12
Granger, C. W. J.
12
Renault, Eric
12
Schmidt, Peter
12
Xiao, Zhijie
12
Hong, Yongmiao
11
Li, Qi
11
Mykland, Per A.
11
Steel, Mark F. J.
11
Timmermann, Allan
11
Zakoïan, Jean-Michel
11
Gallant, A. Ronald
10
Hsiao, Cheng
10
Kohn, Robert
10
Lewbel, Arthur
10
Maasoumi, Esfandiar
10
Meddahi, Nour
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Whang, Yoon-jae
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(EC)2 Conference <1, 1990; 2, 1991>
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
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National Bureau of Economic Research
1
National Science Foundation
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Sir Clive Granger Memorial Conference <2010, Nottingham>
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
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Journal of econometrics
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1,836
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ECONIS (ZBW)
1,928
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1
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
Saved in:
2
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
3
ExpectHill estimation, extreme
risk
and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
4
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
5
Variance trading and market price of variance
risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
6
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Saved in:
7
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
8
Combining statistical intervals and market prices : The worst case state price distribution
Mykland, Per A.
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 272-285
Persistent link: https://www.econbiz.de/10012303929
Saved in:
9
Empirical evidence on the importance of aggregation, asymmetry, and jumps for
volatility
prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
10
Estimation of objective and
risk
-neutral distributions based on moments of integrated
volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
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