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subject:"Share price"
subject:"Stock index"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial economics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"NBER working paper series"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Ghysels, Eric"
~person:"Lütkepohl, Helmut"
~person:"Steel, Mark F. J."
~person:"Timmermann, Allan"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Correlation"
~subject:"High-frequency data"
~subject:"Kapitaleinkommen"
~subject:"Markov chain"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
High-frequency data
Kapitaleinkommen
Markov chain
Noise trading
Theory
Estimation
65
Schätzung
65
Volatility
33
Volatilität
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57
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Ghysels, Eric
Lütkepohl, Helmut
Steel, Mark F. J.
Timmermann, Allan
Todorov, Viktor
19
Campbell, John Y.
12
Tauchen, George Eugene
12
Lettau, Martin
10
Bansal, Ravi
8
Engel, Charles
8
Heckman, James J.
8
Lo, Andrew W.
8
Stambaugh, Robert F.
8
Bekaert, Geert
7
Hodrick, Robert J.
7
Hong, Harrison
7
Kelly, Bryan T.
7
Li, Jia
7
Ludvigson, Sydney C.
7
Ang, Andrew
6
Diebold, Francis X.
6
Kim, Donggyu
6
Nagel, Stefan
6
Rigobon, Roberto
6
Santa-Clara, Pedro
6
Stein, Jeremy C.
6
Acemoglu, Daron
5
Anderson, James E.
5
Aït-Sahalia, Yacine
5
Cumby, Robert E.
5
Engle, Robert F.
5
Froot, Kenneth A.
5
Gallant, A. Ronald
5
Koop, Gary
5
Moskowitz, Tobias J.
5
Obstfeld, Maurice
5
Pastor, Lubos
5
Patton, Andrew J.
5
Serletis, Apostolos
5
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National Bureau of Economic Research
4
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Journal of financial economics
Macroeconomic dynamics
NBER working paper series
Oxford bulletin of economics and statistics
Discussion paper / Centre for Economic Policy Research
12
CREATES research paper
6
Discussion paper / Department of Economics, University of California San Diego
5
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5
The journal of finance : the journal of the American Finance Association
5
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5
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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
3
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3
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3
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2
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2
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2
Econometric reviews
2
Economics letters
2
Finance and economics discussion series
2
IHS economics series : working paper
2
Journal of applied econometrics
2
Journal of empirical finance
2
Journal of financial econometrics
2
Journal of international money and finance
2
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ECONIS (ZBW)
57
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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
Machine learning panel data regressions with heavy-tailed dependent data : theory and application
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
Saved in:
4
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
5
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
6
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
7
Have risk premia vanished?
Smith, Simon C.
;
Timmermann, Allan
- In:
Journal of financial economics
145
(
2022
)
2,2
,
pp. 553-576
Persistent link: https://www.econbiz.de/10013474424
Saved in:
8
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:
9
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
10
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
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