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Subject
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Volatility
321
Volatilität
321
Forecasting model
280
Prognoseverfahren
280
Theorie
246
Theory
246
Estimation theory
186
Schätztheorie
186
Time series analysis
172
Zeitreihenanalyse
172
Estimation
146
Schätzung
144
Stochastic process
106
Stochastischer Prozess
106
Capital income
100
Kapitaleinkommen
100
Börsenkurs
80
Share price
80
ARCH model
71
ARCH-Modell
71
Nichtparametrisches Verfahren
59
Nonparametric statistics
59
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58
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58
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58
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50
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50
Market microstructure
41
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41
Option pricing theory
40
Optionspreistheorie
40
VAR model
38
VAR-Modell
38
Statistical test
37
Statistischer Test
37
Factor analysis
35
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35
Forecasting
35
USA
35
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569
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574
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574
Collection of articles of several authors
6
Conference paper
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6
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English
577
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Bollerslev, Tim
20
Todorov, Viktor
18
Tauchen, George Eugene
15
Timmermann, Allan
15
Andersen, Torben
14
Patton, Andrew J.
12
Swanson, Norman R.
12
Aït-Sahalia, Yacine
11
McAleer, Michael
11
Taylor, Robert
11
Xiu, Dacheng
11
Ghysels, Eric
10
Linton, Oliver
10
Clark, Todd E.
9
Diebold, Francis X.
9
Mykland, Per A.
9
Corradi, Valentina
8
Dijk, Herman K. van
8
Meddahi, Nour
8
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
Kapetanios, George
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Li, Yingying
5
Medeiros, Marcelo C.
5
Park, Joon Y.
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
Published in...
All
Journal of econometrics
International journal of forecasting
1,636
NBER working paper series
1,213
Finance research letters
1,157
Working paper / National Bureau of Economic Research, Inc.
1,042
Energy economics
1,007
NBER Working Paper
947
Journal of forecasting
929
Applied economics
917
International review of financial analysis
876
Economic modelling
722
Journal of banking & finance
722
Working paper
706
Applied economics letters
702
International review of economics & finance : IREF
691
Discussion paper / Centre for Economic Policy Research
679
Applied financial economics
591
MPRA Paper
590
IMF Working Papers
565
The North American journal of economics and finance : a journal of financial economics studies
558
Pacific-Basin finance journal
547
Economics letters
546
Technological forecasting & social change : an international journal
541
Research in international business and finance
537
SpringerLink / Bücher
525
CESifo working papers
510
Journal of international financial markets, institutions & money
500
Journal of empirical finance
497
IMF working papers
495
Journal of international money and finance
453
European journal of operational research : EJOR
444
Journal of risk and financial management : JRFM
440
The journal of futures markets
439
Discussion paper / Tinbergen Institute
402
Working Paper
400
Journal of financial economics
377
ECB Working Paper
373
International journal of economics and finance
362
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
362
Computational economics
358
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ECONIS (ZBW)
577
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577
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1
Autoencoder asset pricing models
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
Saved in:
2
Bayesian Artificial Neural Networks for frontier efficiency analysis
Tsionas, Efthymios G.
;
Parmeter, Christopher F.
; …
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014365509
Saved in:
3
Forecasting
multivariate realized stock market
volatility
Bauer, Gregory H.
;
Vorkink, Keith
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
Saved in:
4
Predicting
volatility
: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
Saved in:
5
Mixtures of t-distributions for finance and
forecasting
Giacomini, Raffaella
;
Gottschling, Andreas
;
Häfke, …
- In:
Journal of econometrics
144
(
2008
)
1
,
pp. 175-192
Persistent link: https://www.econbiz.de/10003723638
Saved in:
6
Entropy and predictability of stock market returns
Maasoumi, Esfandiar
;
Racine, Jeffrey
- In:
Journal of econometrics
107
(
2002
)
1/2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10001651309
Saved in:
7
On LASSO for predictive regression
Lee, Ji Hyung
;
Shi, Zhentao
;
Gao, Zhan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 322-349
Persistent link: https://www.econbiz.de/10013441886
Saved in:
8
Large Bayesian vector autoregressions with stochastic
volatility
and non-conjugate priors
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 137-154
Persistent link: https://www.econbiz.de/10012303905
Saved in:
9
Exploiting the errors : a simple approach for improved
volatility
forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
10
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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