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subject:"Share price"
subject:"Stock index"
~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"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~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"
~subject:"United States"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
Noise trading
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United States
Estimation
35
Schätzung
35
Volatility
18
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
15
Tauchen, George Eugene
11
Li, Jia
7
Aït-Sahalia, Yacine
6
Ghysels, Eric
6
Koop, Gary
6
Koopman, Siem Jan
6
Serletis, Apostolos
6
Bansal, Ravi
5
Diebold, Francis X.
5
Kim, Donggyu
5
Steel, Mark F. J.
5
Timmermann, Allan
5
Chan, Joshua
4
Engle, Robert F.
4
Fleissig, Adrian R.
4
Gallant, A. Ronald
4
Haldrup, Niels
4
Harvey, Andrew C.
4
Marcellino, Massimiliano
4
Pesaran, M. Hashem
4
Phillips, Peter C. B.
4
Rossi, Barbara
4
Sickles, Robin C.
4
Su, Liangjun
4
Wang, Yazhen
4
Xiu, Dacheng
4
Zhou, Hao
4
Bekaert, Geert
3
Castelnuovo, Efrem
3
Cederburg, Scott
3
Demetrescu, Matei
3
Eickmeier, Sandra
3
Ericsson, Neil R.
3
Fama, Eugene F.
3
Francis, Neville
3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
The journal of finance : the journal of the American Finance Association
CREATES research paper
6
Journal of financial economics
6
Working paper / National Bureau of Economic Research, Inc.
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
SFB 649 discussion paper
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
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3
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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Journal of economic dynamics & control
3
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CREATES Research Paper
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DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
EUI working paper / ECO
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Economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
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Annals of economics and statistics
1
Applied economics quarterly
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Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
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CEMMAP working papers / Centre for Microdata Methods and Practice
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Cahier / Départment de Sciences Économiques, Université de Montréal
1
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1
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1
EUI working paper / MWP
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economic inquiry : journal of the Western Economic Association International
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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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
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