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person:"Andersen, Torben G."
~accessRights:"restricted"
~person:"Bollerslev, Tim"
~person:"Kelly, Bryan T."
~subject:"Forecasting model"
~subject:"Zeitreihenanalyse"
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Forecasting model
Zeitreihenanalyse
Capital income
21
Kapitaleinkommen
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Volatility
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Volatilität
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Andersen, Torben G.
Bollerslev, Tim
Kelly, Bryan T.
Gupta, Rangan
67
Ma, Feng
36
Zaremba, Adam
36
Wang, Yudong
32
Zhang, Yaojie
26
Narayan, Paresh Kumar
24
Pierdzioch, Christian
23
Wohar, Mark E.
21
Bouri, Elie
17
Liang, Chao
14
Long, Huaigang
13
Nonejad, Nima
13
Balcilar, Mehmet
12
Dai, Zhifeng
12
Li, Yan
12
McMillan, David G.
12
Salisu, Afees A.
12
Li, Bin
11
Pan, Zhiyuan
11
Todorov, Viktor
11
Yin, Libo
11
He, Mengxi
10
Liu, Li
10
Sharma, Susan Sunila
10
Wei, Yu
10
Wu, Chongfeng
10
Zhou, Guofu
10
Kumar, Dilip
9
Cakici, Nusret
8
Demirer, Rıza
8
Prokopczuk, Marcel
8
Westerlund, Joakim
8
Bekiros, Stelios
7
Bonato, Matteo
7
Caporin, Massimiliano
7
Dinh Hoang Bach Phan
7
Tiwari, Aviral Kumar
7
Wu, Xinyu
7
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Journal of econometrics
4
Journal of financial economics
4
Critical finance review
1
Handbook of economic forecasting ; 1
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
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Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
Saved in:
2
A factor model for option returns
Büchner, Matthias
;
Kelly, Bryan T.
- In:
Journal of financial economics
143
(
2022
)
3
,
pp. 1140-1161
Persistent link: https://www.econbiz.de/10013402153
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3
Dissecting market expectations in the cross-section of book-to-market ratios : a comment
Kelly, Bryan T.
;
Pruitt, Seth
- In:
Critical finance review
11
(
2022
)
2
,
pp. 375-381
Persistent link: https://www.econbiz.de/10013457294
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Autoencoder asset pricing models
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
Saved in:
6
Understanding momentum and reversal
Kelly, Bryan T.
;
Moskowitz, Tobias J.
;
Pruitt, Seth
- In:
Journal of financial economics
140
(
2021
)
3
,
pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
Saved in:
7
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
8
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
9
Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
- In:
Journal of financial economics
120
(
2016
)
3
,
pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
Saved in:
10
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
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