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Time series analysis
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Gil-Alaña, Luis A.
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216
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213
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89
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78
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77
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73
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73
Kunst, Robert M.
72
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72
Granger, C. W. J.
71
Dijk, Dick van
70
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69
Maravall Herrero, Agustín
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Nielsen, Morten Ørregaard
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Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CREATES research paper
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NBER working paper series
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Journal of applied econometrics
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Working paper / National Bureau of Economic Research, Inc.
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Computational economics
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CESifo working papers
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Journal of economic dynamics & control
114
Discussion paper / Centre for Economic Policy Research
110
Econometrics : open access journal
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Journal of empirical finance
107
Cowles Foundation discussion paper
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Finance research letters
103
Oxford bulletin of economics and statistics
101
Journal of macroeconomics
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The econometrics journal
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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
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International review of economics & finance : IREF
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International Journal of Energy Economics and Policy : IJEEP
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Applied financial economics
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Physica A: Statistical Mechanics and its Applications
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ECONIS (ZBW)
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RePEc
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EconStor
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ArchiDok
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Showing
1
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date (newest first)
date (oldest first)
1
The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun
- In:
Journal of financial economics
63
(
2002
)
1
,
pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
Saved in:
2
Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu
;
Lee, Cheng F.
- In:
Portfolio construction, measurement, and efficiency : …
,
(pp. 355-387)
.
2017
Persistent link: https://www.econbiz.de/10011603288
Saved in:
3
A general
volatility
framework and the generalised historical
volatility
estimator
Bollen, Bernard
-
1998
Persistent link: https://www.econbiz.de/10000995980
Saved in:
4
Structural simultaneous
volatility
systems :
volatility
transmission and spillover effects
Gannon, Gerard L.
-
1997
Persistent link: https://www.econbiz.de/10000964264
Saved in:
5
Forecasting the density of oil futures returns using model-free implied
volatility
and high-frequency data
Ielpo, Florian
;
Sévi, Benoît
-
2014
Persistent link: https://www.econbiz.de/10010432122
Saved in:
6
On the relationship of implied, realized and historical
volatility
: evidence from NSE equity index options
Padhi, Puja
;
Shaikh, Imlak
- In:
Journal of business economics and management
15
(
2014
)
5
,
pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
Saved in:
7
Overnight
volatility
, realized
volatility
, and option pricing
Wang, Tianyi
;
Cheng, Sicong
;
Yin, Fangsheng
;
Yu, Mei
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1264-1283
Persistent link: https://www.econbiz.de/10013287956
Saved in:
8
Pricing options under generalised GARCH and stochastic
volatility
processes
Ritchken, Peter H.
;
Trevor, Robert G.
-
1997
Persistent link: https://www.econbiz.de/10000978436
Saved in:
9
Pricing options under generalized GARCH and stochastic
volatility
processes
Ritchken, Peter
;
Trevor, Rob
- In:
The journal of finance : the journal of the American …
54
(
1999
)
1
,
pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
Saved in:
10
The
volatility
of realized
volatility
Corsi, Fulvio
;
Kretschmer, Uta
;
Mittnik, Stefan
; …
-
2005
Persistent link: https://www.econbiz.de/10003351594
Saved in:
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