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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:"Frühwirth-Schnatter, Sylvia"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Lütkepohl, Helmut"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Correlation"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
Noise trading
Theory
Estimation
34
Schätzung
34
Volatility
17
Volatilität
17
Theorie
16
Time series analysis
15
Zeitreihenanalyse
15
Capital income
11
Estimation theory
11
Schätztheorie
11
High-frequency data
9
Börsenkurs
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Forecasting model
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CAPM
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Deutschland
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Germany
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Panel
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Panel study
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Nichtparametrisches Verfahren
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Noise Trading
4
Nonparametric statistics
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USA
4
United States
4
Factor analysis
3
Faktorenanalyse
3
Microstructure noise
3
Statistical distribution
3
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3
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30
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
14
Tauchen, George Eugene
11
Li, Jia
7
Ghysels, Eric
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
5
Steel, Mark F. J.
5
Su, Liangjun
5
Aït-Sahalia, Yacine
4
Chan, Joshua
4
Gallant, A. Ronald
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
Kutlu, Levent
3
Lan, Wei
3
Lee, Chien-chiang
3
Liesenfeld, Roman
3
Patton, Andrew J.
3
Rahbek, Anders
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
CREATES research paper
6
Journal of financial economics
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
SFB 649 discussion paper
4
Working paper / National Bureau of Economic Research, Inc.
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
NBER Working Paper
3
NBER working paper series
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
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 / Départment de Sciences Économiques, Université de Montréal
1
Cahier de recherche
1
Discussion paper / Centre for Economic Policy Research
1
EUI working paper / ECO
1
EUI working paper / MWP
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Essays in honor of Cheng Hsiao
1
Handbook of economic forecasting ; 1
1
IHS economics series : working paper
1
IZA Discussion Paper
1
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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
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:
4
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:
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
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:
7
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:
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
Saved in:
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