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Stochastic process
Volatility
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McAleer, Michael
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Chan, Joshua
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Todorov, Viktor
34
Cui, Zhenyu
33
Chiarella, Carl
29
Escobar, Marcos
27
Clark, Todd E.
26
Mumtaz, Haroon
25
Tauchen, George Eugene
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Fouque, Jean-Pierre
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Andersen, Torben
20
Carriero, Andrea
20
Platen, Eckhard
20
Yu, Jun
20
Marcellino, Massimiliano
19
Nguyen, Duy
19
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18
Hafner, Christian M.
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18
Bos, Charles S.
17
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17
Renò, Roberto
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Rodriguez, Gabriel
17
Takahashi, Akihiko
17
Kang, Boda
16
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Wong, Hoi Ying
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15
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Chang, Chia-Lin
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
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Erasmus Research Institute of Management
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Chambre de commerce et d'industrie de Paris
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Judge Institute of Management Studies
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Weierstraß-Institut für Angewandte Analysis und Stochastik
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Zentrum für Europäische Wirtschaftsforschung
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International journal of theoretical and applied finance
148
Journal of econometrics
118
Quantitative finance
102
Applied mathematical finance
65
Discussion paper / Tinbergen Institute
59
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Journal of economic dynamics & control
59
Finance and stochastics
58
Mathematical finance : an international journal of mathematics, statistics and financial theory
58
The journal of computational finance
55
Computational economics
53
Finance research letters
50
Econometric reviews
48
European journal of operational research : EJOR
48
Insurance / Mathematics & economics
46
Journal of banking & finance
41
Journal of mathematical finance
41
Annals of finance
40
International journal of financial engineering
36
Working paper
36
Research paper series / Swiss Finance Institute
35
Risks : open access journal
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
Economics letters
33
Journal of empirical finance
33
Energy economics
32
The journal of futures markets
31
The North American journal of economics and finance : a journal of financial economics studies
28
Journal of financial economics
27
CREATES research paper
26
Economic modelling
26
Journal of risk and financial management : JRFM
26
Review of derivatives research
26
The European journal of finance
26
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CAMA working paper series
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NBER working paper series
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Asia-Pacific financial markets
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
4,405
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1
Stock returns and
volatility
: pricing the short-run and long-run components of market risk
Adrian, Tobias
;
Rosenberg, Joshua V.
- In:
The journal of finance : the journal of the American …
63
(
2008
)
6
,
pp. 2997-3030
Persistent link: https://www.econbiz.de/10003823154
Saved in:
2
Stock returns and
volatility
: pricing the short-run and long-run components of market risk
Adrian, Tobias
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003382961
Saved in:
3
The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot
;
Durand, Robert B.
;
Maller, Ross A.
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
Saved in:
4
Improving asset price prediction when all models are false
Durham, Garland
;
Geweke, John
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
Saved in:
5
What drives asymmetric dependence structure of asset return comovements?
Poshakwale, Sunil S.
;
Mandal, Anandadeep
- In:
International review of financial analysis
48
(
2016
),
pp. 312-330
Persistent link: https://www.econbiz.de/10011624528
Saved in:
6
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
Saved in:
7
Return and
volatility
linkages among G-7 and selected emerging markets
Bhuyan, Rafiq
;
Elian, Mohammad I.
;
Bagnied, Mohsen
; …
- In:
International journal of economics and finance
7
(
2015
)
6
,
pp. 153-165
Persistent link: https://www.econbiz.de/10011335029
Saved in:
8
Stochastic
volatility
and GARCH : a comparison based on UK stock data
Pederzoli, Chiara
- In:
The European journal of finance
12
(
2006
)
1
,
pp. 41-59
Persistent link: https://www.econbiz.de/10003305243
Saved in:
9
Gamma stochastic
volatility
models
Abraham, Bovas
;
Balakrishna, N.
;
Sivakumar, Ranjini
- In:
Journal of forecasting
25
(
2006
)
3
,
pp. 153-171
Persistent link: https://www.econbiz.de/10003318072
Saved in:
10
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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