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~subject:"Volatility"
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Consistent Ranking of Volatili...
Similar by person
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Subject
All
Volatility
Theorie
76
Theory
69
Volatilität
52
Prognoseverfahren
33
Forecasting model
31
Schätztheorie
31
Time series analysis
30
Zeitreihenanalyse
30
ARCH-Modell
29
ARCH model
28
Estimation theory
28
Börsenkurs
19
Share price
19
Capital income
18
Estimation
18
Kapitaleinkommen
18
Statistischer Test
17
USA
16
United States
15
Schätzung
14
Statistical test
13
Data Mining
10
Markov chain
10
Regression analysis
10
Regressionsanalyse
10
Stochastic process
10
Stochastischer Prozess
10
Market frictions
9
Multivariate Analyse
9
Multivariate analysis
9
Cointegration
8
Correlation
8
High Frequency Data
8
Kointegration
8
Korrelation
8
Long run variance estimator
8
Markov-Kette
8
Quadratic variation
8
Realised variance
8
more ...
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Online availability
All
Free
29
Undetermined
10
Type of publication
All
Book / Working Paper
32
Article
20
Type of publication (narrower categories)
All
Arbeitspapier
19
Article in journal
19
Aufsatz in Zeitschrift
19
Graue Literatur
19
Non-commercial literature
19
Working Paper
19
Aufsatz im Buch
1
Book section
1
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Language
All
English
51
Undetermined
1
Author
All
Lunde, Asger
38
Hansen, Peter Reinhard
35
Huang, Zhuo
9
Bennedsen, Mikkel
4
Olesen, Kasper V.
4
Koopman, Siem Jan
3
Nason, James Michael
3
Pakkanen, Mikko S.
3
Voev, Valeri
3
Archakov, Ilya
2
Christoffersen, Peter F.
2
Engle, Robert F.
2
Hansen, Martin Klint
2
Horel, Guillaume
2
Janus, Paweł
2
Shek, Howard Howan
2
Tong, Chen
2
Zebedee, Allan A.
2
Banulescu Radu, Denisa
1
Bodilsen, Simon Tranberg
1
Brix, Anne Floor
1
Christoffersen, Peter
1
Floor Brix, Anne
1
Gorgi, P.
1
Hansen, Peter R.
1
Huang, Zhuowei
1
Janus, Pawel
1
Karagozoglu, Ahmet K.
1
Kim, Chan
1
Kimbrough, Wade
1
Large, Jeremy
1
Matei, Marius
1
Nason, James M.
1
Olesen, Kasper
1
Pakkanen, Mikko
1
Shek, Howard Howan Stephen
1
Wang, Tianyi
1
Wei, Wei
1
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Institution
All
Brown University / Department of Economics
3
Centre for Analytical Finance <Århus>
2
School of Economics and Management, University of Aarhus
2
Published in...
All
CREATES research paper
10
Journal of financial econometrics
5
Journal of applied econometrics
3
Working papers / Brown University, Department of Economics
3
CREATES Research Papers
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
2
Discussion paper / Tinbergen Institute
1
EUI working paper
1
Econometric reviews
1
Energy economics
1
Finance and stochastics
1
Financial markets and portfolio management
1
Global COE Hi-Stat discussion paper series
1
Journal of econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Oxford bulletin of economics and statistics
1
Rotman School of Management Working Paper
1
The Oxford handbook of economic forecasting
1
The journal of futures markets
1
Tinbergen Institute Discussion Paper 2016-061/III
1
Working paper series / Federal Reserve Bank of Atlanta
1
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Source
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ECONIS (ZBW)
50
RePEc
2
Showing
1
-
10
of
52
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Realized variance and market microstructure noise
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
Saved in:
2
Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard
;
Lunde, Asger
-
2010
Persistent link: https://www.econbiz.de/10003934448
Saved in:
3
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2010
Persistent link: https://www.econbiz.de/10008746092
Saved in:
4
A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
5
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 774-799
Persistent link: https://www.econbiz.de/10010414850
Saved in:
6
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2012
Persistent link: https://www.econbiz.de/10009682612
Saved in:
7
Moving average-based estimators of integrated variance
Hansen, Peter Reinhard
;
Large, Jeremy
;
Lunde, Asger
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 79-111
Persistent link: https://www.econbiz.de/10003761216
Saved in:
8
Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
Saved in:
9
A realized variance for the whole day based on intermittent high-frequency data
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 525-554
Persistent link: https://www.econbiz.de/10003154305
Saved in:
10
A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of applied econometrics
20
(
2005
)
7
,
pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
Saved in:
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