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Estimation
465
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461
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347
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347
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337
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337
Volatility
321
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321
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Bollerslev, Tim
20
Todorov, Viktor
18
Tauchen, George Eugene
17
Linton, Oliver
16
Timmermann, Allan
16
Andersen, Torben
14
Ghysels, Eric
13
Aït-Sahalia, Yacine
12
Patton, Andrew J.
12
Swanson, Norman R.
12
Xiu, Dacheng
12
Taylor, Robert
11
Diebold, Francis X.
10
Phillips, Peter C. B.
10
Clark, Todd E.
9
Gouriéroux, Christian
9
Koop, Gary
9
McAleer, Michael
9
Meddahi, Nour
9
Mykland, Per A.
9
Su, Liangjun
9
Corradi, Valentina
8
Gallant, A. Ronald
8
Pesaran, M. Hashem
8
Shephard, Neil G.
8
Dijk, Herman K. van
7
Koopman, Siem Jan
7
Li, Jia
7
Marcellino, Massimiliano
7
Schorfheide, Frank
7
Cai, Zongwu
6
Cavaliere, Giuseppe
6
Elliott, Graham
6
Gao, Jiti
6
Hsiao, Cheng
6
Kapetanios, George
6
Kim, Donggyu
6
Maheu, John M.
6
McCracken, Michael W.
6
Park, Joon Y.
6
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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
Working paper / National Bureau of Economic Research, Inc.
3,169
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3,084
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3,001
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2,722
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2,271
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1,796
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1,761
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1,678
International journal of forecasting
1,643
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1,595
Applied economics letters
1,550
Working paper
1,367
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1,330
Economic modelling
1,268
Finance research letters
1,099
Economics letters
1,052
Journal of forecasting
932
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
911
Discussion paper
880
Journal of banking & finance
865
International review of economics & finance : IREF
861
CESifo Working Paper
807
International review of financial analysis
807
Applied financial economics
717
Discussion paper / Tinbergen Institute
714
Journal of international money and finance
712
The journal of futures markets
677
International Journal of Energy Economics and Policy : IJEEP
676
The North American journal of economics and finance : a journal of financial economics studies
621
IMF working papers
618
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
617
CESifo Working Paper Series
591
ZEW discussion papers
583
Discussion papers / CEPR
581
Journal of applied econometrics
533
Journal of empirical finance
526
Working paper series / European Central Bank
507
Working Paper
495
Discussion papers / Deutsches Institut für Wirtschaftsforschung
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ECONIS (ZBW)
880
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1
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:
2
Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano
;
Sivec, Vasja
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 335-348
Persistent link: https://www.econbiz.de/10011704953
Saved in:
3
Moving average stochastic
volatility
models with application to inflation forecast
Chan, Joshua C. C.
- In:
Journal of econometrics
176
(
2013
)
2
,
pp. 162-172
Persistent link: https://www.econbiz.de/10009786503
Saved in:
4
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
5
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
6
The VIX, the variance premium and stock market
volatility
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
Saved in:
7
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
8
Stock return and cash flow predictability : the role of
volatility
risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
9
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
10
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
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