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isPartOf:"Review of financial economics : RFE"
~isPartOf:"Journal of econometrics"
~subject:"Ankündigungseffekt"
~subject:"Volatilität"
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Ankündigungseffekt
Volatilität
Capital income
222
Kapitaleinkommen
222
Volatility
85
Börsenkurs
75
Share price
75
Estimation
68
Schätzung
68
Theorie
63
Theory
63
Forecasting model
51
Prognoseverfahren
51
Estimation theory
46
Schätztheorie
46
Time series analysis
41
Zeitreihenanalyse
41
Portfolio selection
39
Portfolio-Management
39
CAPM
34
USA
34
United States
34
ARCH model
27
ARCH-Modell
27
Aktienmarkt
22
Stock market
22
Risikoprämie
21
Risk premium
21
Regression analysis
20
Regressionsanalyse
20
Stochastic process
19
Stochastischer Prozess
19
Correlation
17
Korrelation
17
Risiko
17
Risk
17
Market microstructure
16
Marktmikrostruktur
16
High-frequency data
15
Anlageverhalten
14
Behavioural finance
14
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Undetermined
52
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Article
88
Book / Working Paper
1
Type of publication (narrower categories)
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Article in journal
89
Aufsatz in Zeitschrift
89
Collection of articles of several authors
1
Conference proceedings
1
Konferenzschrift
1
Sammelwerk
1
Language
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English
89
Author
All
Bollerslev, Tim
8
Todorov, Viktor
8
Andersen, Torben
5
Mykland, Per A.
5
Meddahi, Nour
4
Tauchen, George Eugene
4
Aït-Sahalia, Yacine
3
Renault, Eric
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Asai, Manabu
2
Bekaert, Geert
2
Li, Jia
2
Li, Yingying
2
McAleer, Michael
2
Paolella, Marc S.
2
Patton, Andrew J.
2
Polak, Pawel
2
Sheppard, Kevin
2
Zhang, Lan
2
Achleitner, Ann-Kristin
1
Agbeyegbe, Terence D.
1
Ahsan, Nazmul
1
Archakov, Ilya
1
Bae, Suang C.
1
Bandi, Federico M.
1
Bansal, Ravi
1
Barai, Parama
1
Bauer, Gregory H.
1
Bekiros, Stelios D.
1
Ben Aissia, Dorsaf
1
Bibinger, Markus
1
Bouezmarni, Taoufik
1
Breidt, F. Jay
1
Caginalp, Gunduz
1
Calvet, Laurent E.
1
Cebiroglu, Gökhan
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
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Institution
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Conference on Realized Volatility <2006, Montréal>
1
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Review of financial economics : RFE
Journal of econometrics
Finance research letters
187
International review of financial analysis
157
Journal of banking & finance
142
Journal of empirical finance
118
International review of economics & finance : IREF
116
The North American journal of economics and finance : a journal of financial economics studies
105
Journal of financial economics
102
Applied economics
97
Research in international business and finance
94
Energy economics
90
Applied financial economics
88
NBER working paper series
82
Pacific-Basin finance journal
80
Journal of international financial markets, institutions & money
77
Economic modelling
76
The journal of finance : the journal of the American Finance Association
75
Working paper / National Bureau of Economic Research, Inc.
74
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
73
Applied economics letters
71
Review of quantitative finance and accounting
71
Journal of risk and financial management : JRFM
68
NBER Working Paper
64
The European journal of finance
59
International journal of forecasting
51
The review of financial studies
48
Investment management and financial innovations
47
Journal of financial and quantitative analysis : JFQA
47
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
45
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
44
Economics letters
43
Journal of forecasting
42
Management science : journal of the Institute for Operations Research and the Management Sciences
41
Cogent economics & finance
40
International journal of economics and finance
40
Journal of international money and finance
40
The journal of corporate finance : contracting, governance and organization
40
International journal of finance & economics : IJFE
39
Working paper
38
Journal of economics and finance
36
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ECONIS (ZBW)
89
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
4
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
5
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
6
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
7
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
8
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
9
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
10
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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