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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Economic systems"
~isPartOf:"Journal of econometrics"
~isPartOf:"Open economies review"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Aït-Sahalia, Yacine"
~person:"Chang, Chia-Lin"
~person:"Fan, Jianqing"
~person:"Gupta, Rangan"
~person:"Hamori, Shigeyuki"
~person:"Kim, Dong H."
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~person:"Zhou, Liyun"
~subject:"ARCH-Modell"
~subject:"Theorie"
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Kapitaleinkommen
ARCH-Modell
Theorie
Estimation
38
Schätzung
38
Capital income
21
Volatility
21
Volatilität
21
Börsenkurs
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Schätztheorie
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Behavioural finance
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Nichtparametrisches Verfahren
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Aït-Sahalia, Yacine
Chang, Chia-Lin
Fan, Jianqing
Gupta, Rangan
Hamori, Shigeyuki
Kim, Dong H.
Pelger, Markus
Xiu, Dacheng
Zhou, Liyun
Todorov, Viktor
9
Bollerslev, Tim
5
Koop, Gary
5
Zakoïan, Jean-Michel
5
Andersen, Torben
4
Dai, Zhifeng
4
Francq, Christian
4
McAleer, Michael
4
Tauchen, George Eugene
4
Wohar, Mark E.
4
Asai, Manabu
3
Barnett, William A.
3
Bleaney, Michael F.
3
Caporin, Massimiliano
3
Frühwirth-Schnatter, Sylvia
3
Ghysels, Eric
3
Hau, Liya
3
Kang, Sang Hoon
3
Kim, Donggyu
3
Mensi, Walid
3
Paolella, Marc S.
3
Pesaran, M. Hashem
3
Phillips, Peter C. B.
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Rombouts, Jeroen V. K.
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Serletis, Apostolos
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Steel, Mark F. J.
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Tian, Mo
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Xuan Vinh Vo
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Yang, Chunpeng
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Yoon, Seong-min
3
Zhu, Huiming
3
Andreou, Elena
2
Balcilar, Mehmet
2
Cepni, Oguzhan
2
Cho, Hoon
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Economic systems
Journal of econometrics
Open economies review
The North American journal of economics and finance : a journal of financial economics studies
Department of Economics working paper series
18
Econometric Institute research papers
9
Finance research letters
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International journal of finance & economics : IJFE
5
Working paper
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Economic modelling
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International review of economics & finance : IREF
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Research in international business and finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Working papers / University of Connecticut, Department of Economics
4
Journal of economics and finance
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Journal of macroeconomics
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Journal of multinational financial management
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The European journal of finance
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Applied economics letters
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Behavioral Finance and Asset Prices : The Influence of Investor's Emotions
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CEA_372Cass working paper series
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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
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11
Estimating latent asset-pricing factors
Lettau, Martin
;
Pelger, Markus
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
Saved in:
12
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
13
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
14
Time-varying risk aversion and realized gold volatility
Demirer, Rıza
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
- In:
The North American journal of economics and finance : a …
50
(
2019
)
101048
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012204443
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15
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
16
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
17
The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over...
Gupta, Rangan
;
Risse, Marian
;
Volkman, David A.
;
Wohar, …
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 391-405
Persistent link: https://www.econbiz.de/10012117890
Saved in:
18
Does partisan conflict predict a reduction in US stock market (realized) volatility? : evidence from a quantile-on-quantile regression model
Gupta, Rangan
;
Pierdzioch, Christian
;
Selmi, Refk
; …
- In:
The North American journal of economics and finance : a …
43
(
2018
),
pp. 87-96
Persistent link: https://www.econbiz.de/10012036263
Saved in:
19
Dependence structures between Chinese stock markets and the international financial market : evidence from a wavelet-based quantile regression approach
Yang, Lu
;
Tian, Shuairu
;
Yang, Wei
;
Xu, Mingli
;
Hamori, …
- In:
The North American journal of economics and finance : a …
45
(
2018
),
pp. 116-137
Persistent link: https://www.econbiz.de/10012117763
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20
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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