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source:"econis"
~isPartOf:"Journal of econometrics"
~subject:"Capital income"
~subject:"Kapitaleinkommen"
~subject:"Theorie"
~subject:"Zinsstruktur"
~type_genre:"Article in journal"
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Search: subject_exact:"Equity premium"
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Capital income
Kapitaleinkommen
Theorie
Zinsstruktur
Risikoprämie
34
Risk premium
34
CAPM
14
Volatility
14
Volatilität
14
Forecasting model
13
Prognoseverfahren
13
Estimation
12
Schätzung
12
Theory
12
Börsenkurs
8
Share price
8
Yield curve
6
Risiko
5
Risk
5
Stochastic process
5
Stochastischer Prozess
5
Variance risk premium
5
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Return predictability
4
Stochastic volatility
4
ARCH model
3
ARCH-Modell
3
Beta risk
3
Betafaktor
3
Credit risk
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Derivat
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Derivative
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EU countries
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EU-Staaten
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Article in journal
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23
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English
23
Author
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Bandi, Federico M.
2
Wachter, Jessica
2
Warusawitharana, Missaka
2
Zhou, Hao
2
Anatolyev, Stanislav
1
Aït-Sahalia, Yacine
1
Bakalli, Gaetan
1
Bansal, Ravi
1
Bekaert, Geert
1
Bollerslev, Tim
1
Borovička, Jaroslav
1
Eraker, Bjørn
1
Fan, Jianqing
1
Favero, Carlo A.
1
Gouriéroux, Christian
1
Griffin, J. E.
1
Griffin, Jim E.
1
Guerrier, Stéphane
1
Han, Hyojin
1
Hansen, Lars Peter
1
Hoerova, Marie
1
Hong, Zhiwu
1
Kalli, Maria
1
Karamann, Mustafa
1
Ke, Yuan
1
Khrapov, Stanislav
1
Kim, Soohun
1
Liao, Yuan
1
Lundblad, Christian
1
Mancini, Loriano
1
Mikusheva, Anna
1
Monfort, Alain
1
Niu, Linlin
1
Perron, Benoit
1
Renault, Eric
1
Renne, Jean-Paul
1
Rombouts, Jeroen V. K.
1
Scaillet, Olivier
1
Skoulakis, Georgios
1
Steel, Mark F. J.
1
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Journal of econometrics
Journal of financial economics
166
Journal of banking & finance
151
Finance research letters
100
The review of financial studies
88
Journal of international money and finance
83
Journal of empirical finance
76
International review of economics & finance : IREF
68
International review of financial analysis
65
The journal of finance : the journal of the American Finance Association
57
Economics letters
54
Journal of international financial markets, institutions & money
54
Journal of economic dynamics & control
49
Applied economics
46
Management science : journal of the Institute for Operations Research and the Management Sciences
46
Journal of monetary economics
43
Pacific-Basin finance journal
42
The North American journal of economics and finance : a journal of financial economics studies
41
Applied financial economics
38
Journal of financial markets
36
Economic modelling
33
Applied economics letters
32
Journal of financial and quantitative analysis : JFQA
31
Journal of money, credit and banking : JMCB
30
Review of finance : journal of the European Finance Association
29
International journal of finance & economics : IJFE
28
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
26
Research in international business and finance
26
The American economic review
26
The European journal of finance
26
Energy economics
24
International journal of theoretical and applied finance
24
The journal of fixed income
24
Insurance / Mathematics & economics
23
Review of quantitative finance and accounting
23
Journal of risk and financial management : JRFM
22
The journal of futures markets
22
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Macroeconomic dynamics
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ECONIS (ZBW)
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1
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
2
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
3
Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
Saved in:
4
Factor models with many assets : strong factors, weak factors, and the two-pass procedure
Anatolyev, Stanislav
;
Mikusheva, Anna
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 103-126
Persistent link: https://www.econbiz.de/10013441835
Saved in:
5
Affine arbitrage-free yield net models with application to the euro debt crisis
Hong, Zhiwu
;
Niu, Linlin
;
Zhang, Chen
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
Saved in:
6
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
7
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
8
Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
Saved in:
9
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:
10
Ex-post risk premia estimation and asset pricing tests using large cross sections : the regression-calibration approach
Kim, Soohun
;
Skoulakis, Georgios
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 159-188
Persistent link: https://www.econbiz.de/10011974727
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