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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"Method of moments"
~subject:"Monte-Carlo-Simulation"
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CAPM
Estimation theory
Cointegration
Method of moments
Monte-Carlo-Simulation
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
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104
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104
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94
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88
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84
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82
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81
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81
Statistische Verteilung
81
Monte Carlo simulation
75
Kointegration
72
Markov chain
71
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71
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68
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604
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599
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9
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607
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Chib, Siddhartha
11
Lee, Lung-fei
10
Phillips, Peter C. B.
10
Lütkepohl, Helmut
9
Schmidt, Peter
8
Gouriéroux, Christian
7
Robinson, Peter M.
7
Baltagi, Badi H.
6
King, Maxwell L.
6
Kohn, Robert
6
Koop, Gary
6
Li, Qi
6
Saikkonen, Pentti
6
Swanson, Norman R.
6
Aït-Sahalia, Yacine
5
Gallant, A. Ronald
5
Granger, C. W. J.
5
Pesaran, M. Hashem
5
Ahn, Seung Chan
4
Andrews, Donald W. K.
4
Chen, Songnian
4
Corradi, Valentina
4
Ghysels, Eric
4
Gonzalo, Jesús
4
Hall, Alastair R.
4
Hsiao, Cheng
4
Inoue, Atsushi
4
Johansen, Søren
4
Khalaf, Lynda
4
Kleibergen, Frank
4
Lucas, André
4
Paap, Richard
4
Shin, Yongcheol
4
Smith, Richard J.
4
Windmeijer, Frank
4
Abrevaya, Jason
3
Ai, Chunrong
3
Ali, Mukhtar M.
3
Andersen, Torben
3
Atkinson, Scott Estes
3
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Journal of econometrics
Economics letters
558
Econometric theory
344
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
310
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
281
Working paper / National Bureau of Economic Research, Inc.
260
NBER working paper series
226
Econometric reviews
218
Série des documents de travail / Centre de Recherche en Économie et Statistique
191
Journal of economic dynamics & control
190
Journal of applied econometrics
183
Discussion paper / Tinbergen Institute
174
NBER Working Paper
174
The journal of finance : the journal of the American Finance Association
171
Journal of financial economics
165
The review of financial studies
161
Journal of banking & finance
157
Applied economics
155
Journal of quantitative economics : official journal of the Indian Econometric Society
145
The review of economics and statistics
142
Oxford bulletin of economics and statistics
132
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
130
Economic modelling
119
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
112
Working paper
112
Discussion paper / Center for Economic Research, Tilburg University
108
Journal of empirical finance
108
Finance research letters
99
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
Discussion paper / Centre for Economic Policy Research
96
Statistical papers
92
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
90
Journal of financial and quantitative analysis : JFQA
88
Journal of monetary economics
87
Journal of forecasting
86
CORE discussion paper : DP
85
Journal of international money and finance
83
Management science : journal of the Institute for Operations Research and the Management Sciences
79
International economic review
78
Applied economics letters
77
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ECONIS (ZBW)
607
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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
High dimensional semiparametric moment restriction models
Dong, Chaohua
;
Gao, Jiti
;
Linton, Oliver
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 320-345
Persistent link: https://www.econbiz.de/10014339933
Saved in:
6
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:
7
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:
8
GMM quantile regression
Firpo, Sérgio Pinheiro
;
Galvão Júnior, Antônio Fialho
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 432-452
Persistent link: https://www.econbiz.de/10013464059
Saved in:
9
Feedback in panel data models
Chamberlain, Gary
- In:
Journal of econometrics
226
(
2022
)
1
,
pp. 4-20
Persistent link: https://www.econbiz.de/10013440502
Saved in:
10
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
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