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subject:"Volatilität"
subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Caporin, Massimiliano"
~person:"Todorov, Viktor"
~subject:"United States"
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Volatilität
Zeitreihenanalyse
United States
Estimation
34
Schätzung
34
Volatility
23
Capital income
17
Kapitaleinkommen
17
Time series analysis
14
Börsenkurs
13
Share price
13
Stochastic process
10
Stochastischer Prozess
10
Estimation theory
8
Forecasting model
8
High-frequency data
8
Prognoseverfahren
8
Schätztheorie
8
CAPM
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Option pricing theory
6
Optionspreistheorie
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Risikoprämie
6
Risk premium
6
Theorie
6
Theory
6
Stochastic volatility
5
ARCH model
4
ARCH-Modell
4
Jumps
4
Martingal
4
Martingale
4
Spillover effect
4
Spillover-Effekt
4
Beta risk
3
Betafaktor
3
Option trading
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Optionsgeschäft
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3
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Caporin, Massimiliano
Todorov, Viktor
Gupta, Rangan
93
Gil-Alaña, Luis A.
46
Bahmani-Oskooee, Mohsen
35
Balcilar, Mehmet
26
Ma, Feng
26
Tiwari, Aviral Kumar
26
Marcellino, Massimiliano
25
Wohar, Mark E.
25
Bouri, Elie
24
Pierdzioch, Christian
22
Xuan Vinh Vo
20
Chang, Tsangyao
19
Caporale, Guglielmo Maria
16
Kang, Sang Hoon
16
Ghysels, Eric
15
Lee, Chien-chiang
15
Mensi, Walid
15
Salisu, Afees A.
15
Apergēs, Nikolaos
14
Hammoudeh, Shawkat
14
Jawadi, Fredj
14
Nonejad, Nima
14
Yoon, Seong-min
14
Bollerslev, Tim
13
Forni, Mario
13
Gambetti, Luca
13
Li, Jia
13
Massa, Massimo
13
Timmermann, Allan
13
Wang, Yudong
13
Wei, Yu
13
Wu, Xinyu
13
Chan, Joshua
12
Zhang, Yaojie
12
Zhu, Huiming
12
Kelly, Bryan T.
11
Kumar, Dilip
11
Narayan, Paresh Kumar
11
Ranjbar, Omid
11
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Journal of econometrics
9
Journal of financial economics
4
Energy economics
2
International review of economics & finance : IREF
2
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni
;
Caporin, Massimiliano
;
Iacopini, …
- In:
Energy economics
132
(
2024
),
pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
Saved in:
2
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:
3
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:
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
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
Saved in:
6
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
7
News and intraday jumps : evidence from regularization and class imbalance
Caporin, Massimiliano
;
Poli, Francesco
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013534219
Saved in:
8
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
9
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.
;
Caporin, Massimiliano
;
Zambon, N.
- In:
The European journal of finance
27
(
2021
)
11
,
pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
Saved in:
10
Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano
;
Malik, Farooq
- In:
Journal of empirical finance
55
(
2020
),
pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
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