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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"Kointegration"
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CAPM
Estimation theory
Cointegration
Kointegration
Theorie
1,608
Theory
1,608
Schätztheorie
368
Time series analysis
326
Zeitreihenanalyse
326
Estimation
166
Schätzung
166
Nichtparametrisches Verfahren
140
Nonparametric statistics
140
Forecasting model
128
Prognoseverfahren
128
Statistical test
128
Statistischer Test
128
Volatility
125
Volatilität
125
Regression analysis
114
Regressionsanalyse
114
Stochastic process
104
Stochastischer Prozess
104
USA
94
United States
94
Panel
91
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91
Bayes-Statistik
88
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88
Ökonometrie
84
Econometrics
82
Method of moments
81
Momentenmethode
81
Statistical distribution
81
Statistische Verteilung
81
Monte Carlo simulation
75
Monte-Carlo-Simulation
75
Markov chain
71
Markov-Kette
71
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68
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479
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8
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8
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3
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English
481
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Phillips, Peter C. B.
10
Lütkepohl, Helmut
8
Chib, Siddhartha
6
Gouriéroux, Christian
6
Lee, Lung-fei
6
Li, Qi
6
Saikkonen, Pentti
6
Swanson, Norman R.
6
Aït-Sahalia, Yacine
5
Baltagi, Badi H.
5
Granger, C. W. J.
5
Kohn, Robert
5
Robinson, Peter M.
5
Chen, Songnian
4
Corradi, Valentina
4
Gonzalo, Jesús
4
Johansen, Søren
4
King, Maxwell L.
4
Kleibergen, Frank
4
Paap, Richard
4
Schmidt, Peter
4
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Boswijk, Herman Peter
3
Chao, John C.
3
Diebold, Francis X.
3
Donald, Stephen G.
3
Franses, Philip Hans
3
Ghysels, Eric
3
Godfrey, L. G.
3
Golan, Amos
3
Greenberg, Edward S.
3
Haldrup, Niels
3
Horowitz, Joel
3
Hsiao, Cheng
3
Jong, Robert M. de
3
Kelejian, Harry H.
3
Koop, Gary
3
Lucas, André
3
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Journal of econometrics
Economics letters
497
Econometric theory
325
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
293
Working paper / National Bureau of Economic Research, Inc.
259
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
237
NBER working paper series
223
Série des documents de travail / Centre de Recherche en Économie et Statistique
173
The journal of finance : the journal of the American Finance Association
170
Econometric reviews
168
NBER Working Paper
168
Journal of economic dynamics & control
165
Journal of applied econometrics
163
Journal of financial economics
161
The review of financial studies
159
Journal of banking & finance
144
Journal of quantitative economics : official journal of the Indian Econometric Society
142
The review of economics and statistics
134
Applied economics
128
Oxford bulletin of economics and statistics
125
Discussion paper / Tinbergen Institute
117
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
105
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
103
Journal of empirical finance
99
Discussion paper / Center for Economic Research, Tilburg University
94
Economic modelling
94
Finance research letters
90
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
88
Discussion paper / Centre for Economic Policy Research
87
Working paper
85
CORE discussion paper : DP
84
Journal of financial and quantitative analysis : JFQA
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
83
Statistical papers
83
Journal of monetary economics
82
Journal of international money and finance
81
Management science : journal of the Institute for Operations Research and the Management Sciences
77
The review of economic studies
73
International economic review
70
Journal of forecasting
68
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ECONIS (ZBW)
481
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481
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
7
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:
8
High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Feng, Long
;
Lan, Wei
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 152-175
Persistent link: https://www.econbiz.de/10013441842
Saved in:
9
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:
10
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
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