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Theory
Volatility
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Diebold, Francis X.
104
Härdle, Wolfgang
103
McAleer, Michael
98
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85
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76
Phillips, Peter C. B.
73
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70
Bekaert, Geert
69
Koopman, Siem Jan
68
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60
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50
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48
Swanson, Norman R.
48
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46
Andersen, Torben
45
Lucas, André
44
Monfort, Alain
43
Newey, Whitney K.
42
Engle, Robert F.
41
Lux, Thomas
40
Lütkepohl, Helmut
39
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38
Scaillet, Olivier
38
Ghysels, Eric
37
Aït-Sahalia, Yacine
36
Bauwens, Luc
36
Giles, David E. A.
36
Granger, C. W. J.
36
Gupta, Rangan
36
Gollier, Christian
35
Imbens, Guido
35
Yu, Jun
35
Herwartz, Helmut
34
Aizenman, Joshua
33
Baltagi, Badi H.
33
Caporin, Massimiliano
33
Robinson, Peter M.
33
Tzavalis, Elias
33
Linton, Oliver
32
Winkelmann, Rainer
31
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
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University of New England / Department of Econometrics
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Rodney L. White Center for Financial Research
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Federal Reserve System / Division of Research and Statistics
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Springer Fachmedien Wiesbaden
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Rutgers University / Department of Economics
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The Wharton Financial Institutions Center
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Universitetet i Oslo / Økonomisk institutt
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World Bank
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Aarhus Universitet / Afdeling for Nationaløkonomi
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Australian National University / Faculty of Economics and Commerce
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Centre for Microdata Methods and Practice <London>
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Shakai-Keizai-Kenkyūsho <Osaka>
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5
Sonderforschungsbereich 303 Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn
5
State University of New York at Albany / Department of Economics
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Journal of econometrics
526
Economics letters
509
Working paper / National Bureau of Economic Research, Inc.
333
Econometric theory
308
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
284
NBER working paper series
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
268
NBER Working Paper
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Econometric reviews
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Journal of banking & finance
187
Discussion paper / Tinbergen Institute
182
Journal of applied econometrics
179
Série des documents de travail / Centre de Recherche en Économie et Statistique
178
Discussion paper / Centre for Economic Policy Research
153
Working paper
150
Journal of economic dynamics & control
148
Journal of quantitative economics : official journal of the Indian Econometric Society
144
The review of economics and statistics
138
Mathematical finance : an international journal of mathematics, statistics and financial theory
131
Energy economics
129
International journal of theoretical and applied finance
129
Applied economics
124
Journal of financial economics
123
Journal of empirical finance
119
Journal of forecasting
115
Finance research letters
113
Oxford bulletin of economics and statistics
113
Journal of international money and finance
111
The review of financial studies
110
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
109
International journal of forecasting
109
Economic modelling
108
Discussion paper / Center for Economic Research, Tilburg University
106
The journal of finance : the journal of the American Finance Association
100
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
99
CORE discussion paper : DP
93
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
93
Journal of monetary economics
87
Statistical papers
87
The European journal of finance
84
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ECONIS (ZBW)
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1
Estimation of affine term structure models with spanned or unspanned stochastic
volatility
Creal, Drew
;
Wu, Jing Cynthia
-
2014
Persistent link: https://www.econbiz.de/10010360896
Saved in:
2
Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo
;
Renò, Roberto
- In:
Applied mathematical finance
13
(
2006
)
2
,
pp. 143-153
Persistent link: https://www.econbiz.de/10003331421
Saved in:
3
Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo
;
Renò, Roberto
-
2003
Persistent link: https://www.econbiz.de/10001763605
Saved in:
4
Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz
;
Nkurunziza, Sévérien
;
Liu, Shuangzhe
- In:
Statistical inference, econometric analysis and matrix …
,
(pp. 255-270)
.
2009
Persistent link: https://www.econbiz.de/10003781036
Saved in:
5
Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions
Frühwirth, Manfred
;
Schneider, Paul
;
Sögner, Leopold
- In:
Operations research proceedings 2005 : selected papers …
,
(pp. 507-512)
.
2006
Persistent link: https://www.econbiz.de/10003347723
Saved in:
6
Markov-switching and stochastic
volatility
diffusion models of short-term interest rates
Smith, Daniel R.
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
2
,
pp. 183-197
Persistent link: https://www.econbiz.de/10001660372
Saved in:
7
Markov-switching and stochastic
volatility
diffusion models of short-term interest rates
Smith, Daniel R.
-
2000
Persistent link: https://www.econbiz.de/10001487318
Saved in:
8
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
- In:
Journal of financial economics
63
(
2002
)
2
,
pp. 161-210
Persistent link: https://www.econbiz.de/10001636757
Saved in:
9
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
-
2001
Persistent link: https://www.econbiz.de/10001606888
Saved in:
10
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
(
contributor
); …
-
2001
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002011289
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