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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:"Bresson, Georges"
~person:"D'Amico, Stefania"
~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:"Markov chain"
~subject:"Noise trading"
~subject:"Theory"
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Share price
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Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
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Theory
Estimation
41
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41
Theorie
25
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11
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Andersen, Torben
Bibinger, Markus
Bresson, Georges
D'Amico, Stefania
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Ghysels, Eric
Lütkepohl, Helmut
Steel, Mark F. J.
Todorov, Viktor
18
Bollerslev, Tim
13
Tauchen, George Eugene
12
Li, Jia
7
Timmermann, Allan
6
Aït-Sahalia, Yacine
5
Gallant, A. Ronald
5
Kelly, Bryan T.
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
5
Su, Liangjun
5
Bansal, Ravi
4
Chan, Joshua
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
Cheung, Yin-Wong
3
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Francq, Christian
3
Franses, Philip Hans
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
8
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Working paper / National Bureau of Economic Research, Inc.
5
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4
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4
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4
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4
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4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
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3
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2
DIW Berlin Discussion Paper
2
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2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics letters
2
FEDS Working Paper
2
IHS economics series : working paper
2
Journal of applied econometrics
2
Journal of economic dynamics & control
2
Research paper series / Swiss Finance Institute
2
Working paper / Department of Economics, Johannes-Kepler-Universität of Linz
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
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CFS working paper series
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CREATES research paper
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Cahier / Département de Sciences Économiques, Université de Montréal
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1
Duration transition and count data models
1
ECB Working Paper
1
EUI working paper / ECO
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ECONIS (ZBW)
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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
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:
5
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:
6
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
Saved in:
7
The term structure and inflation uncertainty
Breach, Tomas
;
D'Amico, Stefania
;
Orphanides, Athanasios
- In:
Journal of financial economics
138
(
2020
)
2
,
pp. 388-414
Persistent link: https://www.econbiz.de/10012653048
Saved in:
8
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
Saved in:
9
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
Saved in:
10
Achieving shrinkage in a time-varying parameter model framework
Bitto, Angela
;
Frühwirth-Schnatter, Sylvia
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 75-97
Persistent link: https://www.econbiz.de/10012303379
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