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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"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Lütkepohl, Helmut"
~person:"Xu, Libo"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Noise trading
Theory
Estimation
28
Schätzung
28
Volatility
18
Volatilität
18
Time series analysis
13
Zeitreihenanalyse
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Theorie
12
Capital income
11
Estimation theory
11
Schätztheorie
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Nichtparametrisches Verfahren
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Noise Trading
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Nonparametric statistics
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Microstructure noise
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USA
3
United States
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ARCH model
2
ARCH-Modell
2
Aktienindex
2
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2
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Lütkepohl, Helmut
Xu, Libo
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
Aït-Sahalia, Yacine
4
Chan, Joshua
4
Gallant, A. Ronald
4
Galvão Júnior, Antônio Fialho
4
Haldrup, Niels
4
Marcellino, Massimiliano
4
Pesaran, M. Hashem
4
Su, Liangjun
4
Wang, Yazhen
4
Xiu, Dacheng
4
Bansal, Ravi
3
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Francq, Christian
3
Frühwirth-Schnatter, Sylvia
3
Harvey, Andrew C.
3
Hong, Yongmiao
3
Lucas, André
3
Phillips, Peter C. B.
3
Rahbek, Anders
3
Ravazzolo, Francesco
3
Rossi, Barbara
3
Sentana, Enrique
3
Sickles, Robin C.
3
Taamouti, Abderrahim
3
Timmermann, Allan
3
Tse, Yiu Kuen
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
CREATES research paper
6
Journal of financial economics
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Journal of economic dynamics & control
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
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
NBER Working Paper
3
NBER working paper series
3
The journal of finance : the journal of the American Finance Association
3
CESifo working papers
2
CREATES Research Paper
2
DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Finance and economics discussion series
2
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
1
CFS working paper series
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper series / IZA
1
EUI working paper
1
EUI working paper / MWP
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
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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
IZA Discussion Paper
1
International economic review
1
Journal of applied econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Journal of financial markets
1
Journal of international money and finance
1
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ECONIS (ZBW)
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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
Dependence structure between money and economic activity : a Markov-switching copula VEC approach
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
26
(
2022
)
8
,
pp. 2141-2160
Persistent link: https://www.econbiz.de/10013469790
Saved in:
5
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:
6
Consumption, leisure, and money
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
25
(
2021
)
6
,
pp. 1412-1441
Persistent link: https://www.econbiz.de/10012618219
Saved in:
7
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:
8
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:
9
Money supply volatility and the macroeconomy
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
24
(
2020
)
6
,
pp. 1392-1402
Persistent link: https://www.econbiz.de/10012307284
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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