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Stochastic Volatility: Origins...
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Schätztheorie
Theorie
316
Theory
315
Volatility
147
Volatilität
138
Zeitreihenanalyse
75
Denmark
74
Dänemark
74
Time series analysis
74
Estimation theory
73
Stochastic process
55
Stochastischer Prozess
55
USA
51
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51
Capital income
49
Kapitaleinkommen
49
Estimation
48
Schätzung
48
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48
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47
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44
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44
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42
Finanzmarkt
42
Fiscal policy
38
Finanzpolitik
37
Schock
36
Shock
36
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35
Börsenkurs
33
Share price
33
Forecasting model
32
Prognoseverfahren
32
Quadratic variation
32
Arbeitsmarkt
31
Globalization
31
Labour market
31
Strategic management
30
Strategisches Management
30
Stochastic volatility
29
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Free
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Book / Working Paper
48
Article
25
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Graue Literatur
34
Non-commercial literature
34
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33
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24
Aufsatz in Zeitschrift
24
Aufsatz im Buch
1
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1
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1
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Language
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English
73
Author
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Shephard, Neil G.
44
Andersen, Torben
20
Barndorff-Nielsen, Ole E.
14
Lunde, Asger
9
Shephard, Neil
9
Dobrev, Dobrislav
7
Hansen, Peter Reinhard
7
Schaumburg, Ernst
7
Sheppard, Kevin
7
Varneskov, Rasmus Tangsgaard
7
Chib, Siddhartha
6
Noureldin, Diaa
4
Xiu, Dacheng
4
Engle, Robert F.
3
Flury, Thomas
3
Harvey, Andrew C.
3
Kim, Sangjoon
3
Todorov, Viktor
3
Bennedsen, Mikkel
2
Doucet, Arnaud
2
Koopman, Siem Jan
2
Nardari, Federico
2
Veraart, Almut E. D.
2
Archakov, Ilya
1
Atkinson, Anthony C.
1
Bojinov, Iavor
1
Cebiroglu, Gökhan
1
Doornik, Jurgen A.
1
Elerian, Ola
1
Fiorentini, Gabriele
1
Fusari, Nicola
1
Graversen, Svend Erik
1
Hautsch, Nikolaus
1
Hendry, David F.
1
Jacod, Jean
1
Li, Yingying
1
Lund, Jesper
1
Nielsen, Bent
1
Pakel, Cavit
1
Podolskij, Mark
1
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Centre for Analytical Finance <Århus>
2
National Bureau of Economic Research
2
Nuffield College
1
Oxford Financial Research Centre
1
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Journal of econometrics
13
Economics discussion papers
7
Department of Economics discussion paper series / University of Oxford
6
CREATES research paper
5
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
4
Suntory Toyota International Centre for Economics and Related Disciplines
4
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Oxford Financial Research Centre economics series
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
3
Global COE Hi-Stat discussion paper series
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
NBER working paper series
2
The review of economic studies
2
Working paper / National Bureau of Economic Research, Inc.
2
Chicago Booth Research Paper
1
Discussion paper / Center for Economic Research, Tilburg University
1
Identification and inference for econometric models : essays in honor of Thomas Rothenberg
1
Journal of applied econometrics
1
Mathematical finance
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Staff reports / Federal Reserve Bank of New York
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
73
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1
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009531407
Saved in:
2
Distribution of the ML estimator of an MA(1) and a local level model
Shephard, Neil G.
- In:
Econometric theory
9
(
1993
)
3
,
pp. 377-401
Persistent link: https://www.econbiz.de/10001151128
Saved in:
3
Estimation and testing of stochastic variance models
Harvey, Andrew C.
;
Shephard, Neil G.
-
1993
Persistent link: https://www.econbiz.de/10000868273
Saved in:
4
Exact score for time series models in state space form
Koopman, Siem Jan
;
Shephard, Neil G.
-
1992
Persistent link: https://www.econbiz.de/10000837992
Saved in:
5
Deletion diagnostics and transformations for time series
Atkinson, Anthony C.
;
Shephard, Neil G.
-
1992
Persistent link: https://www.econbiz.de/10000839002
Saved in:
6
A local scale model : an unobserved component alternative to integrated garch processes
Shephard, Neil G.
-
1990
Persistent link: https://www.econbiz.de/10000804115
Saved in:
7
Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan
;
Shephard, Neil G.
;
Doornik, Jurgen A.
-
1998
Persistent link: https://www.econbiz.de/10000167948
Saved in:
8
How accurate is the asymptotic approximation to the distribution of realised variance?
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Identification and inference for econometric models : …
,
(pp. 306-331)
.
2005
Persistent link: https://www.econbiz.de/10003352563
Saved in:
9
Econometrics of testing for jumps in financial economics using bipower variation
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10003313338
Saved in:
10
Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2008
Persistent link: https://www.econbiz.de/10003807445
Saved in:
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