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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Ghysels, Eric"
~person:"McAleer, Michael"
~subject:"Factor asset pricing models"
~subject:"Risikoprämie"
~subject:"United States"
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Search: subject_exact:"Volatility"
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Factor asset pricing models
Risikoprämie
United States
Volatility
16
Volatilität
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6
Stochastischer Prozess
6
Theorie
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1975-1998
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Ghysels, Eric
McAleer, Michael
Bollerslev, Tim
4
Zhou, Hao
4
Engle, Robert F.
3
Andersen, Torben
1
Andreou, Elena
1
Aït-Sahalia, Yacine
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Journal of econometrics
Econometric Reviews
Econometric Institute research papers
24
Discussion paper / Tinbergen Institute
10
Working paper
10
Econometric reviews
3
Journal of risk and financial management : JRFM
2
Applied financial economics
1
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1
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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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The North American journal of economics and finance : a journal of financial economics studies
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1
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
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
4
An econometric analysis of asymmetric volatility : theory and application to patents
McAleer, Michael
;
Chan, Felix
;
Marinova, Dora
- In:
Journal of econometrics
139
(
2007
)
2
,
pp. 259-284
Persistent link: https://www.econbiz.de/10003485356
Saved in:
5
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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