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subject:"Share price"
subject:"Stock index"
~isPartOf:"Discussion papers / Deutsches Institut für Wirtschaftsforschung"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Finance and economics discussion series"
~isPartOf:"IZA Discussion Paper"
~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:"Galvão Júnior, Antônio Fialho"
~person:"Lütkepohl, Helmut"
~person:"Tsay, Ruey S."
~subject:"Bayesian Factor-Augmented Model"
~subject:"Correlation"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theory"
~subject:"Volatilität"
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Share price
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Estimation
51
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51
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Tsay, Ruey S.
Todorov, Viktor
16
Caporale, Guglielmo Maria
13
Tauchen, George Eugene
13
Zhou, Hao
11
Gil-Alaña, Luis A.
10
Pesaran, M. Hashem
9
Li, Jia
7
Ghysels, Eric
6
Heckman, James J.
6
Jenkins, Stephen
6
Kim, Donggyu
6
Aït-Sahalia, Yacine
5
D'Amico, Stefania
5
Francq, Christian
5
Herwartz, Helmut
5
Koop, Gary
5
Patton, Andrew J.
5
Phillips, Peter C. B.
5
Serletis, Apostolos
5
Steel, Mark F. J.
5
Su, Liangjun
5
Zakoïan, Jean-Michel
5
Ahn, Hie Joo
4
Bansal, Ravi
4
Belzil, Christian
4
Biewen, Martin
4
Chan, Joshua
4
Fan, Jianqing
4
Gallant, A. Ronald
4
Haldrup, Niels
4
Kim, Don H.
4
Kutlu, Levent
4
Liesenfeld, Roman
4
Marcellino, Massimiliano
4
Martins, Pedro S.
4
Oaxaca, Ronald L.
4
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4
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Finance and economics discussion series
IZA Discussion Paper
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
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6
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4
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Essays in honor of Cheng Hsiao
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Global COE Hi-Stat discussion paper series
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ECONIS (ZBW)
41
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21
Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors : An Application to Hedonic Housing Prices...
Baltagi, Badi H.
-
2010
This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated via spatial errors terms and via a spatial lag dependent variable and where the...
Persistent link: https://www.econbiz.de/10013137243
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22
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
23
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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24
High dimensional dynamic stochastic copula models
Creal, Drew
;
Tsay, Ruey S.
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
Saved in:
25
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus
;
Winkelmann, Lars
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 361-378
Persistent link: https://www.econbiz.de/10011339314
Saved in:
26
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
27
Expected stock returns and variance risk premia
Bollerslev, Tim
;
Zhou, Hao
-
2007
Persistent link: https://www.econbiz.de/10003826928
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28
Quantile autoregressive distributed lag model with an application to house price returns
Galvão Júnior, Antônio Fialho
;
Montes-Rojas, Gabriel
; …
- In:
Oxford bulletin of economics and statistics
75
(
2013
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10009754614
Saved in:
29
The role of the log transformation in forecasting economic variables
Lütkepohl, Helmut
;
Fang, Xu
- In:
Empirical economics : a journal of the Institute for …
42
(
2012
)
3
,
pp. 619-638
Persistent link: https://www.econbiz.de/10009547180
Saved in:
30
Quantile regression for dynamic panel data with fixed effects
Galvão Júnior, Antônio Fialho
- In:
Journal of econometrics
164
(
2011
)
1
,
pp. 142-157
Persistent link: https://www.econbiz.de/10009270393
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