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type_genre:"Non-commercial literature"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~subject:"Kointegration"
~subject:"Share price"
~type_genre:"Amtsdruckschrift"
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Kointegration
Share price
Estimation
79
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Theorie
32
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Time series analysis
25
Zeitreihenanalyse
25
Capital income
23
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Nielsen, Morten Ørregaard
5
Bollerslev, Tim
4
Carlini, Federico
3
Santucci de Magistris, Paolo
3
Todorov, Viktor
3
Grassi, Stefano
2
Violante, Francesco
2
Andreasen, Martin Møller
1
Casas, Isabel
1
Delle Monache, Davide
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1
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1
Haulde, Javier
1
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1
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1
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1
Lanne, Markku
1
Li, Sophia Zhengzi
1
MacKinnon, James G.
1
Mao, Xiuping
1
Nielsen, Ole Linnemann
1
Ntantamis, Christos
1
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1
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1
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1
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
106
CESifo working papers
96
Discussion paper / Centre for Economic Policy Research
59
Working paper
50
Discussion paper / Tinbergen Institute
37
Discussion papers / Deutsches Institut für Wirtschaftsforschung
37
SFB 649 discussion paper
34
Discussion paper
32
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
32
CFS working paper series
30
Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
30
Kiel working paper
27
Discussion papers of interdisciplinary research project 373
26
ZEW discussion papers
26
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25
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22
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Swiss Finance Institute Research Paper
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Cambridge working papers in economics
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11
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10
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ECONIS (ZBW)
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1
Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann
;
Posselt, Anders Merrild
-
2022
-
This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
Saved in:
2
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
3
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
4
Fractional integration and cointegration
Haulde, Javier
;
Nielsen, Morten Ørregaard
-
2021
Persistent link: https://www.econbiz.de/10012816374
Saved in:
5
Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
Casas, Isabel
;
Mao, Xiuping
;
Veiga, Helena
-
2018
Persistent link: https://www.econbiz.de/10011864851
Saved in:
6
Nonstationary cointegration in the fractionally cointegrated VAR model
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2018
Persistent link: https://www.econbiz.de/10011864979
Saved in:
7
Dynamics of variance risk premia, investors' sentiment and return predictability
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2017
Persistent link: https://www.econbiz.de/10011624137
Saved in:
8
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
Saved in:
9
Nonlinear dynamic interrelationships between real activity and stock returns
Lanne, Markku
;
Nyberg, Henri
-
2015
Persistent link: https://www.econbiz.de/10011327712
Saved in:
10
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
2014
Persistent link: https://www.econbiz.de/10010442441
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