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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Ghysels, Eric"
~person:"Zhou, Hao"
~subject:"Factor asset pricing models"
~subject:"Risikoprämie"
~subject:"United States"
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Factor asset pricing models
Risikoprämie
United States
Volatility
12
Volatilität
11
Forecasting model
6
Prognoseverfahren
6
Estimation
4
Risk premium
4
Schätzung
4
USA
4
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Share price
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Stochastic process
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Ghysels, Eric
Zhou, Hao
Bollerslev, Tim
4
Engle, Robert F.
3
McAleer, Michael
2
Andersen, Torben
1
Andreou, Elena
1
Aït-Sahalia, Yacine
1
Bandi, Federico M.
1
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1
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1
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1
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1
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1
Crato, Nuno
1
Das, Sanjiv R.
1
DeLima, Pedro J. F.
1
DeSantis, Mark
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Deo, Rohit S.
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Eraker, Bjørn
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Journal of econometrics
Econometric Reviews
Finance and economics discussion series
8
Journal of banking & finance
2
Annual review of financial economics
1
Asian Finance Association (AsianFA) 2014 Conference Paper
1
BIS working papers
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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ECONIS (ZBW)
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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
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
4
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:
5
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Saved in:
6
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
Saved in:
7
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Saved in:
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