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subject:"Volatility"
~person:"Gil-Alaña, Luis A."
~person:"Todorov, Viktor"
~subject:"Strukturbruch"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Volatility
Strukturbruch
United States
Estimation
156
Schätzung
156
Time series analysis
90
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90
Cointegration
49
Kointegration
49
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44
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Nonparametric statistics
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Gil-Alaña, Luis A.
Todorov, Viktor
Gupta, Rangan
96
Bahmani-Oskooee, Mohsen
59
Caporale, Guglielmo Maria
40
Wohar, Mark E.
39
Tiwari, Aviral Kumar
31
Chang, Tsangyao
30
Bollerslev, Tim
28
Ma, Feng
27
Balcilar, Mehmet
26
Bouri, Elie
25
McAleer, Michael
25
Pierdzioch, Christian
25
Xuan Vinh Vo
24
Apergēs, Nikolaos
23
Lee, Chien-chiang
22
Narayan, Paresh Kumar
21
Kumar, Dilip
20
Payne, James E.
19
Hsing, Yu
18
Kang, Sang Hoon
18
Brooks, Robert
17
Mensi, Walid
17
Yoon, Seong-min
17
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16
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Rashid, Abdul
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Salisu, Afees A.
15
Andersen, Torben
14
Heckman, James J.
14
Jawadi, Fredj
14
Li, Jia
14
Miller, Stephen M.
14
Sarno, Lucio
14
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Journal of econometrics
13
Applied economics letters
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Finance research letters
4
Journal of financial economics
4
Economic modelling
3
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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31
Fractional integration and cointegration in merger and acquisitions in the US petroleum industry
Monge, Manuel
;
Gil-Alaña, Luis A.
- In:
Applied economics letters
23
(
2016
)
10/12
,
pp. 701-704
Persistent link: https://www.econbiz.de/10011628404
Saved in:
32
Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
International journal of finance & economics : IJFE
21
(
2016
)
2
,
pp. 143-153
Persistent link: https://www.econbiz.de/10011560168
Saved in:
33
Long range dependence in the Indian stock market : evidence of fractional integration, non-linearities and breaks
Gil-Alaña, Luis A.
;
Tripathy, Trilochan
- In:
Journal of quantitative economics : official journal of …
14
(
2016
)
2
,
pp. 199-215
Persistent link: https://www.econbiz.de/10011639888
Saved in:
34
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
35
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:
36
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
37
Long range dependence in the indian stock market : evidence of fractional integration, non-linearities and breaks
Gil-Alaña, Luis A.
;
Tripathy, Trilochan
- In:
Journal of quantitative economics
14
(
2016
)
2
,
pp. 199-215
Persistent link: https://www.econbiz.de/10012418211
Saved in:
38
Mozambique metical exchange rate dynamics : evidence of fractional co-integration in the USA and South African rates
Barros, Carlos P.
;
Gil-Alaña, Luis A.
;
Faria, João Ricardo
- In:
The South African journal of economics
83
(
2015
)
4
,
pp. 569-575
Persistent link: https://www.econbiz.de/10011441920
Saved in:
39
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:
40
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:
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