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subject:"Volatilität"
~accessRights:"restricted"
~person:"Bali, Turan G."
~person:"Caporin, Massimiliano"
~person:"Prokopczuk, Marcel"
~person:"Tauchen, George Eugene"
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Volatilität
Estimation
47
Schätzung
47
Volatility
24
Capital income
22
Kapitaleinkommen
22
Börsenkurs
17
Share price
17
CAPM
13
Time series analysis
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Risikoprämie
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Risk premium
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Beta risk
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Betafaktor
8
Estimation theory
8
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8
Schätztheorie
8
Commodity derivative
7
Risiko
7
Rohstoffderivat
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High-frequency data
6
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Risk measure
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Stochastic volatility
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Welt
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World
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Bali, Turan G.
Caporin, Massimiliano
Prokopczuk, Marcel
Tauchen, George Eugene
Gupta, Rangan
53
Ma, Feng
25
Bahmani-Oskooee, Mohsen
21
Bouri, Elie
21
Balcilar, Mehmet
19
Pierdzioch, Christian
19
Todorov, Viktor
16
Wohar, Mark E.
16
Xuan Vinh Vo
16
Kang, Sang Hoon
15
Mensi, Walid
15
Tiwari, Aviral Kumar
15
Bollerslev, Tim
13
Li, Jia
13
Wei, Yu
13
Wu, Xinyu
13
Yoon, Seong-min
12
Zhu, Huiming
12
Kumar, Dilip
11
Lee, Chien-chiang
11
Nonejad, Nima
11
Wang, Yudong
11
Zhang, Yaojie
11
Jawadi, Fredj
10
Brooks, Robert
9
Chevallier, Julien
9
Demirer, Rıza
9
Hammoudeh, Shawkat
9
Kelly, Bryan T.
9
McAleer, Michael
9
Clements, Adam
8
Gil-Alaña, Luis A.
8
Ji, Qiang
8
Sehgal, Sanjay
8
Shi, Yanlin
8
Yin, Libo
8
Apergēs, Nikolaos
7
Chiang, Thomas C.
7
Corbet, Shaen
7
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Gottfried Wilhelm Leibniz Universität Hannover
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Journal of econometrics
6
Journal of banking & finance
3
International review of economics & finance : IREF
2
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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1
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1
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1
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ECONIS (ZBW)
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1
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:
2
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:
3
Is there a risk-return tradeoff in the corporate bond market? : time-series and cross-sectional evidence
Bai, Jennie
;
Bali, Turan G.
;
Wen, Quan
- In:
Journal of financial economics
142
(
2021
)
3
,
pp. 1017-1037
Persistent link: https://www.econbiz.de/10012873314
Saved in:
4
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:
5
Predictability in commodity markets : evidence from more than a century
Hollstein, Fabian
;
Prokopczuk, Marcel
;
Tharann, Björn
; …
- In:
Journal of commodity markets
24
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013392396
Saved in:
6
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
Saved in:
7
Economic determinants of oil futures volatility : term structure perspective
Kang, Boda
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Energy economics
88
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012515144
Saved in:
8
Essays on financial time series with a focus on high-frequency data
Becker, Janis
-
2020
Persistent link: https://www.econbiz.de/10012225306
Saved in:
9
International tail risk and world fear
Hollstein, Fabian
;
Nguyen, Duc Binh Benno
;
Prokopczuk, …
- In:
Journal of international money and finance
93
(
2019
),
pp. 244-259
Persistent link: https://www.econbiz.de/10012138644
Saved in:
10
Rank tests at jump events
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Lin, Huidi
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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