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~isPartOf:"Quantitative finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Volatility"
~subject:"Volatilität"
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Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
NBER working paper series
173
Working paper / National Bureau of Economic Research, Inc.
161
NBER Working Paper
155
Journal of econometrics
125
Journal of banking & finance
109
Finance research letters
97
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78
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International journal of forecasting
76
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
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Mathematical finance : an international journal of mathematics, statistics and financial theory
72
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Journal of international money and finance
65
Energy economics
62
International review of financial analysis
60
The European journal of finance
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International review of economics & finance : IREF
58
The review of financial studies
58
Applied economics
57
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55
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Finance and stochastics
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ECONIS (ZBW)
94
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1
The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter
;
Zhou, Zhong-guo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
16
(
2012
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
Saved in:
2
Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions
Yang, Minxian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
15
(
2011
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009521860
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3
Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
5
,
pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
Saved in:
4
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George
;
Dionysopoulos, Thomas
;
Achim, Alin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
Saved in:
5
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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6
A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu
;
Zhou, Hai-Lin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
Saved in:
7
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
8
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
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9
Estimating VAR-MGARCH models in multiple steps
Carnero, M. Angeles
;
Eratalay, M. Hakan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
3
,
pp. 339-365
Persistent link: https://www.econbiz.de/10010384281
Saved in:
10
Time variation in an optimal asymmetric preference monetary policy model
Cassou, Steven Peter
;
Vázquez, Jesús
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
1
,
pp. 41-49
Persistent link: https://www.econbiz.de/10010347339
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