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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"Monte-Carlo-Simulation"
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CAPM
Estimation theory
Cointegration
Monte-Carlo-Simulation
Theorie
2,179
Theory
2,179
Schätztheorie
499
Time series analysis
457
Zeitreihenanalyse
457
Estimation
239
Schätzung
239
Statistical test
200
Statistischer Test
200
Nichtparametrisches Verfahren
181
Nonparametric statistics
181
Volatility
176
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176
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167
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167
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161
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161
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151
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141
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112
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111
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111
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107
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107
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726
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726
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8
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731
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Chib, Siddhartha
12
Phillips, Peter C. B.
12
Lütkepohl, Helmut
11
King, Maxwell L.
9
Baltagi, Badi H.
8
Saikkonen, Pentti
8
Gouriéroux, Christian
7
Kohn, Robert
7
Koop, Gary
7
Lee, Lung-fei
7
Li, Qi
7
Swanson, Norman R.
7
Granger, C. W. J.
6
Johansen, Søren
6
Pesaran, M. Hashem
6
Robinson, Peter M.
6
Schmidt, Peter
6
Aït-Sahalia, Yacine
5
Lucas, André
5
Ohtani, Kazuhiro
5
Paap, Richard
5
Rahbek, Anders
5
Srivastava, Virendra K.
5
Steel, Mark F. J.
5
Ullah, Aman
5
Andrews, Donald W. K.
4
Bera, Anil K.
4
Boswijk, Herman Peter
4
Chen, Songnian
4
Corradi, Valentina
4
Franses, Philip Hans
4
Godfrey, L. G.
4
Gonzalo, Jesús
4
Hendry, David F.
4
Horowitz, Joel
4
Khalaf, Lynda
4
Kleibergen, Frank
4
McAleer, Michael
4
Park, Joon Y.
4
Shin, Yongcheol
4
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Econometric reviews
Journal of econometrics
Economics letters
530
Econometric theory
332
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
293
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
262
Working paper / National Bureau of Economic Research, Inc.
259
NBER working paper series
224
Série des documents de travail / Centre de Recherche en Économie et Statistique
190
Journal of economic dynamics & control
181
Journal of applied econometrics
177
The journal of finance : the journal of the American Finance Association
171
NBER Working Paper
169
Discussion paper / Tinbergen Institute
168
Journal of financial economics
161
The review of financial studies
160
Journal of banking & finance
152
Journal of quantitative economics : official journal of the Indian Econometric Society
144
Applied economics
143
The review of economics and statistics
138
Oxford bulletin of economics and statistics
130
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
118
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
109
Economic modelling
109
Journal of empirical finance
106
Working paper
106
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105
Finance research letters
95
Mathematical finance : an international journal of mathematics, statistics and financial theory
95
Discussion paper / Centre for Economic Policy Research
92
Statistical papers
91
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
90
CORE discussion paper : DP
85
Journal of financial and quantitative analysis : JFQA
84
Journal of international money and finance
83
Journal of monetary economics
83
Journal of forecasting
82
Management science : journal of the Institute for Operations Research and the Management Sciences
79
International economic review
73
The review of economic studies
73
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ECONIS (ZBW)
731
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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
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
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332237
Saved in:
5
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
6
Canonical correlation-based model selection for the multilevel factors
Choi, In
;
Lin, Rui
;
Shin, Yongcheol
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 22-44
Persistent link: https://www.econbiz.de/10014340924
Saved in:
7
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
8
Time-varying cointegration and the Kalman filter
Eroğlu, Burak Alparslan
;
Miller, J. Isaac
;
Yigit, Taner M.
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013167573
Saved in:
9
Approximate state space modelling of unobserved fractional components
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 75-98
Persistent link: https://www.econbiz.de/10013167584
Saved in:
10
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra
;
Hafner, Christian M.
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 877-894
Persistent link: https://www.econbiz.de/10013364913
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