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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:"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."
~subject:"Bayesian Factor-Augmented Model"
~subject:"Correlation"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theorie"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
Noise trading
Theorie
Theory
Estimation
53
Schätzung
53
Volatility
25
Volatilität
25
Capital income
18
Time series analysis
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17
Estimation theory
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Bayesian inference
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Deutschland
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Markov chain
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Jumps
4
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47
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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.
Todorov, Viktor
18
Tauchen, George Eugene
12
Li, Jia
7
Timmermann, Allan
6
Aït-Sahalia, Yacine
5
Kelly, Bryan T.
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
5
Su, Liangjun
5
Bansal, Ravi
4
Chan, Joshua
4
Gallant, A. Ronald
4
Haldrup, Niels
4
Hong, Harrison G.
4
Marcellino, Massimiliano
4
Patton, Andrew J.
4
Pesaran, M. Hashem
4
Phillips, Peter C. B.
4
Scaillet, Olivier
4
Wang, Yazhen
4
Westerlund, Joakim
4
Xiu, Dacheng
4
Bali, Turan G.
3
Bekaert, Geert
3
D'Amico, Stefania
3
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Francq, Christian
3
Franses, Philip Hans
3
Harvey, Andrew C.
3
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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
Oxford bulletin of economics and statistics
Discussion paper / Centre for Economic Policy Research
7
CREATES research paper
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Working paper / National Bureau of Economic Research, Inc.
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
NBER Working Paper
4
NBER working paper series
4
SFB 649 discussion paper
4
Discussion paper series / IZA
3
ERID working paper
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of economic dynamics & control
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
The journal of finance : the journal of the American Finance Association
3
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
3
CESifo working papers
2
CREATES Research Paper
2
DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
Economics letters
2
Finance and economics discussion series
2
Journal of financial econometrics
2
Journal of international money and finance
2
Research paper series / Swiss Finance Institute
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
1
CEMMAP working papers / Centre for Microdata Methods and Practice
1
CFS working paper series
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Cahier de recherche
1
Duration transition and count data models
1
ECB Working Paper
1
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ECONIS (ZBW)
47
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1
Bootstrap inference for panel data quantile regression
Galvão Júnior, Antônio Fialho
;
Parker, Thomas
;
Xiao, …
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
2
,
pp. 628-639
Persistent link: https://www.econbiz.de/10015053434
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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
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
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