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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Ghysels, Eric"
~person:"Gibson, Michael S."
~subject:"Factor asset pricing models"
~subject:"Risikoprämie"
~subject:"United States"
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Factor asset pricing models
Risikoprämie
United States
Volatility
8
Volatilität
7
Forecasting model
3
Prognoseverfahren
3
USA
3
Börsenkurs
2
Estimation
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Risk premium
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Schätzung
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Share price
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ARCH model
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ARCH-Modell
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Ghysels, Eric
Gibson, Michael S.
Bollerslev, Tim
4
Zhou, Hao
4
Engle, Robert F.
3
McAleer, Michael
2
Andersen, Torben
1
Andreou, Elena
1
Aït-Sahalia, Yacine
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Bandi, Federico M.
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Connor, Gregory
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Das, Sanjiv R.
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DeLima, Pedro J. F.
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Deo, Rohit S.
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Journal of econometrics
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2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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The review of economics and statistics
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ECONIS (ZBW)
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
2
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
3
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
4
Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
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