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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 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
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Kapitaleinkommen
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Estimation
15
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15
Capital income
7
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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.
Kelly, Bryan T.
5
Serletis, Apostolos
5
Todorov, Viktor
4
Bali, Turan G.
3
Hong, Harrison G.
3
Lee, Chien-chiang
3
Lo, Andrew W.
3
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3
Santa-Clara, Pedro
3
Timmermann, Allan
3
Weber, Michael
3
Xu, Libo
3
Afonso, Oscar
2
Bai, Jennie
2
Balke, Nathan S.
2
Baltussen, Guido
2
Bansal, Ravi
2
Barroso, Pedro
2
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2
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2
Gallant, A. Ronald
2
Gil-Alaña, Luis A.
2
Gonçalves, Andrei S.
2
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2
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2
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of financial economics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
Journal of econometrics
25
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
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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
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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
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ECONIS (ZBW)
14
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1
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:
2
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:
3
Choosing between different time-varying volatility models for structural vector autoregressive analysis
Lütkepohl, Helmut
;
Schlaak, Thore
- In:
Oxford bulletin of economics and statistics
80
(
2018
)
4
,
pp. 715-735
Persistent link: https://www.econbiz.de/10011969506
Saved in:
4
Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
- In:
Journal of financial economics
120
(
2016
)
3
,
pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
Saved in:
5
How important is innovation? : a bayesian factor-augmented productivity model based on panel data
Bresson, Georges
;
Etienne, Jean-Michel
;
Mohnen, Pierre A.
- In:
Macroeconomic dynamics
20
(
2016
)
8
,
pp. 1987-2009
Persistent link: https://www.econbiz.de/10011685298
Saved in:
6
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
7
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
Saved in:
8
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
Saved in:
9
Quantile autoregressive distributed lag model with an application to house price returns
Galvão Júnior, Antônio Fialho
;
Montes-Rojas, Gabriel
; …
- In:
Oxford bulletin of economics and statistics
75
(
2013
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10009754614
Saved in:
10
The role of the log transformation in forecasting economic variables
Lütkepohl, Helmut
;
Fang, Xu
- In:
Empirical economics : a journal of the Institute for …
42
(
2012
)
3
,
pp. 619-638
Persistent link: https://www.econbiz.de/10009547180
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