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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"Monte-Carlo-Simulation"
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CAPM
Estimation theory
Cointegration
Monte-Carlo-Simulation
Theorie
1,607
Theory
1,607
Schätztheorie
368
Time series analysis
326
Zeitreihenanalyse
326
Estimation
166
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166
Nichtparametrisches Verfahren
140
Nonparametric statistics
140
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128
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128
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Chib, Siddhartha
11
Phillips, Peter C. B.
10
Lütkepohl, Helmut
8
Gouriéroux, Christian
6
King, Maxwell L.
6
Kohn, Robert
6
Koop, Gary
6
Lee, Lung-fei
6
Li, Qi
6
Robinson, Peter M.
6
Saikkonen, Pentti
6
Swanson, Norman R.
6
Aït-Sahalia, Yacine
5
Baltagi, Badi H.
5
Granger, C. W. J.
5
Chen, Songnian
4
Corradi, Valentina
4
Gonzalo, Jesús
4
Johansen, Søren
4
Khalaf, Lynda
4
Kleibergen, Frank
4
Lucas, André
4
Paap, Richard
4
Pesaran, M. Hashem
4
Schmidt, Peter
4
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3
Ali, Mukhtar M.
3
Andersen, Torben
3
Andrews, Donald W. K.
3
Boswijk, Herman Peter
3
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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
Herwartz, Helmut
3
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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
Econometric reviews
193
Série des documents de travail / Centre de Recherche en Économie et Statistique
190
Journal of economic dynamics & control
181
Journal of applied econometrics
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The journal of finance : the journal of the American Finance Association
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NBER Working Paper
169
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Journal of financial economics
161
The review of financial studies
157
Journal of banking & finance
152
Journal of quantitative economics : official journal of the Indian Econometric Society
144
Applied economics
142
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
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105
Journal of empirical finance
105
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104
Mathematical finance : an international journal of mathematics, statistics and financial theory
95
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92
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91
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90
Finance research letters
88
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85
Journal of financial and quantitative analysis : JFQA
84
Journal of monetary economics
83
Journal of international money and finance
82
Journal of forecasting
81
Management science : journal of the Institute for Operations Research and the Management Sciences
79
The review of economic studies
73
Finance and stochastics
72
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ECONIS (ZBW)
538
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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
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:
8
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
9
Instrument-free identification and estimation of differentiated products models using cost data
Byrne, David P.
;
Imai, Susumu
;
Jain, Neelam
;
Sarafidis, …
- In:
Journal of econometrics
228
(
2022
)
2
,
pp. 278-301
Persistent link: https://www.econbiz.de/10013441750
Saved in:
10
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
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