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person:"Lanne, Markku"
subject:"United States"
~person:"Bollerslev, Tim"
~subject:"ARCH model"
~type_genre:"Article in journal"
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Lanne, Markku
Bollerslev, Tim
Gupta, Rangan
64
Bahmani-Oskooee, Mohsen
38
Gil-Alaña, Luis A.
36
Caporale, Guglielmo Maria
28
Wohar, Mark E.
25
Kumar, Dilip
19
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Ma, Feng
17
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17
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16
Bouri, Elie
16
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14
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14
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14
Hamori, Shigeyuki
13
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12
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12
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12
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12
Yoon, Seong-min
12
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11
Malik, Farooq
11
Salisu, Afees A.
11
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11
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10
Floros, Christos
10
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10
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10
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10
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10
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10
Miller, Stephen M.
10
Wu, Xinyu
10
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9
Bali, Turan G.
9
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9
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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3
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2
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2
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ECONIS (ZBW)
21
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21
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1
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:
2
A new time-varying parameter autoregressive model for U.S. inflation expectations
Lanne, Markku
;
Luoto, Jani
- In:
Journal of money, credit and banking : JMCB
49
(
2017
)
5
,
pp. 969-995
Persistent link: https://www.econbiz.de/10011946516
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
Noncausality and inflation persistence
Lanne, Markku
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 469-481
Persistent link: https://www.econbiz.de/10011339417
Saved in:
5
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
Saved in:
6
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
7
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Saved in:
8
Expected stock returns and variance risk premia
Bollerslev, Tim
;
Tauchen, George Eugene
;
Zhou, Hao
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4463-4492
Persistent link: https://www.econbiz.de/10003896321
Saved in:
9
A mixture mutliplicative error model for realized volatility
Lanne, Markku
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 594-616
Persistent link: https://www.econbiz.de/10003565744
Saved in:
10
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
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