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subject:"Share price"
subject:"Stock index"
~accessRights:"restricted"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Fan, Jianqing"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Lütkepohl, Helmut"
~person:"Todorov, Viktor"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Noise trading
Theory
Estimation
27
Schätzung
27
Volatility
22
Volatilität
22
Time series analysis
15
Zeitreihenanalyse
15
Capital income
14
High-frequency data
14
Börsenkurs
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Estimation theory
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Schätztheorie
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Prognoseverfahren
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Factor analysis
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Faktorenanalyse
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Risikoprämie
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Risk premium
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Stochastic volatility
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ARCH model
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ARCH-Modell
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Factor model
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Jumps
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Martingal
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Martingale
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Microstructure noise
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Noise Trading
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Option pricing theory
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Fan, Jianqing
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
Li, Jia
7
Marcellino, Massimiliano
7
Tauchen, George Eugene
6
Kim, Donggyu
5
Serletis, Apostolos
5
Wang, Yazhen
4
Aït-Sahalia, Yacine
3
Chan, Joshua
3
Lucas, André
3
Ravazzolo, Francesco
3
Rossi, Barbara
3
Su, Liangjun
3
Timmermann, Allan
3
Xiu, Dacheng
3
Xu, Libo
3
Afonso, Oscar
2
Ahn, Hie Joo
2
Asai, Manabu
2
Bailey, Natalia
2
Carrasco, Marine
2
Carriero, Andrea
2
Casarin, Roberto
2
Cavaliere, Giuseppe
2
Christensen, Kim
2
Clark, Todd E.
2
Demetrescu, Matei
2
Eickmeier, Sandra
2
Ergemen, Yunus Emre
2
Forbes, Catherine Scipione
2
Francq, Christian
2
Frühwirth-Schnatter, Sylvia
2
Ghysels, Eric
2
Gungor, Sermin
2
Hallin, Marc
2
Herwartz, Helmut
2
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Journal of applied econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
Journal of financial economics
5
Economics letters
2
Journal of economic dynamics & control
2
Annals of economics and statistics
1
Discussion paper / Centre for Economic Policy Research
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Essays in honor of Cheng Hsiao
1
Handbook of economic forecasting ; 1
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The review of economic studies
1
The review of economics and statistics
1
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ECONIS (ZBW)
22
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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
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
Saved in:
4
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
7
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:
8
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
9
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
10
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10012262503
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