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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:"Macroeconomic dynamics"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Cheung, Yin-Wong"
~person:"D'Amico, Stefania"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Ghysels, Eric"
~person:"Lütkepohl, Helmut"
~person:"Steel, Mark F. J."
~person:"Tauchen, George Eugene"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Correlation"
~subject:"Kapitaleinkommen"
~subject:"Markov chain"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
Markov chain
Noise trading
Theory
Estimation
61
Schätzung
61
Theorie
29
Volatility
27
Volatilität
27
Time series analysis
24
Zeitreihenanalyse
24
Estimation theory
23
Schätztheorie
23
Börsenkurs
17
Capital income
17
High-frequency data
14
Stochastic process
13
Stochastischer Prozess
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USA
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8
Forecasting model
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CAPM
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Bayes-Statistik
6
Bayesian inference
6
Market microstructure
6
Markov-Kette
6
Marktmikrostruktur
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Panel
6
Panel study
6
Regression analysis
6
Regressionsanalyse
6
Stochastic volatility
5
ARCH model
4
ARCH-Modell
4
Cointegration
4
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53
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53
Mehrbändiges Werk
1
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1
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English
53
Author
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Cheung, Yin-Wong
D'Amico, Stefania
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Ghysels, Eric
Lütkepohl, Helmut
Steel, Mark F. J.
Tauchen, George Eugene
Todorov, Viktor
14
Li, Jia
7
Gallant, A. Ronald
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
5
Su, Liangjun
5
Aït-Sahalia, Yacine
4
Chan, Joshua
4
Haldrup, Niels
4
Marcellino, Massimiliano
4
Pesaran, M. Hashem
4
Phillips, Peter C. B.
4
Wang, Yazhen
4
Westerlund, Joakim
4
Xiu, Dacheng
4
Bansal, Ravi
3
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Francq, Christian
3
Franses, Philip Hans
3
Harvey, Andrew C.
3
Herwartz, Helmut
3
Hong, Yongmiao
3
Klaassen, Franc
3
Kutlu, Levent
3
Lan, Wei
3
Lee, Chien-chiang
3
Liesenfeld, Roman
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
Macroeconomic dynamics
Oxford bulletin of economics and statistics
CESifo working papers
9
Journal of financial economics
9
Discussion paper / Centre for Economic Policy Research
8
Finance and economics discussion series
7
CREATES research paper
6
Working paper / National Bureau of Economic Research, Inc.
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
ERID working paper
5
SFB 649 discussion paper
5
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
4
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
Discussion paper series / IZA
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Journal of international money and finance
4
NBER Working Paper
4
NBER working paper series
4
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
4
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 papers / Federal Reserve Bank of Chicago
3
CREATES Research Paper
2
DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
Economics letters
2
FEDS Working Paper
2
IHS economics series : working paper
2
International journal of finance & economics : IJFE
2
Journal of applied econometrics
2
Journal of financial econometrics
2
Quantitative economics : QE ; journal of the Econometric Society
2
Research paper series / Swiss Finance Institute
2
Working paper / Department of Economics, Johannes-Kepler-Universität of Linz
2
Working paper series / European Central Bank
2
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ECONIS (ZBW)
53
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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
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
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:
7
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:
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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