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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 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:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
Noise trading
Theory
Estimation
44
Schätzung
44
Volatility
23
Volatilität
23
Theorie
20
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16
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14
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14
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39
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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
16
Tauchen, George Eugene
9
Aït-Sahalia, Yacine
5
Kelly, Bryan T.
5
Koop, Gary
5
Li, Jia
5
Serletis, Apostolos
5
Timmermann, Allan
5
Gallant, A. Ronald
4
Hong, Harrison G.
4
Kim, Donggyu
4
Phillips, Peter C. B.
4
Scaillet, Olivier
4
Xiu, Dacheng
4
Bali, Turan G.
3
Herwartz, Helmut
3
Kutlu, Levent
3
Lee, Chien-chiang
3
Lo, Andrew W.
3
Moskowitz, Tobias J.
3
Patton, Andrew J.
3
Pesaran, M. Hashem
3
Santa-Clara, Pedro
3
Su, Liangjun
3
Valkanov, Rossen I.
3
Wang, Yazhen
3
Weber, Michael
3
Xu, Libo
3
Zakoïan, Jean-Michel
3
Zhou, Guofu
3
Afonso, Oscar
2
Andreou, Elena
2
Asai, Manabu
2
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of econometrics
Journal of financial economics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
Discussion paper / Centre for Economic Policy Research
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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39
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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
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:
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
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:
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
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
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