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~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Capital income"
~subject:"Investmentfonds"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
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ARCH model
Capital income
Investmentfonds
Kapitaleinkommen
137
Volatility
70
Volatilität
70
Theorie
54
Theory
54
Estimation
53
Schätzung
53
Estimation theory
46
Schätztheorie
46
Forecasting model
45
Prognoseverfahren
45
Börsenkurs
42
Share price
42
Time series analysis
38
Zeitreihenanalyse
38
Portfolio selection
23
Portfolio-Management
23
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22
CAPM
20
Stochastic process
19
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19
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18
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18
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17
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17
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16
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16
High-frequency data
15
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15
Risk premium
15
Factor analysis
13
Faktorenanalyse
13
Statistical distribution
12
Statistische Verteilung
12
Nichtparametrisches Verfahren
10
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10
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9
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9
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Undetermined
89
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Article
136
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1
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Article in journal
Bibliography included
Aufsatz in Zeitschrift
137
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1
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English
137
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Todorov, Viktor
9
Bollerslev, Tim
8
Andersen, Torben
6
Xiu, Dacheng
6
Meddahi, Nour
5
Mykland, Per A.
5
Tauchen, George Eugene
5
Demetrescu, Matei
4
Rodrigues, Paulo M. M.
4
Shephard, Neil G.
4
Taylor, Robert
4
Aït-Sahalia, Yacine
3
Bandi, Federico M.
3
Diebold, Francis X.
3
Li, Yingying
3
Renault, Eric
3
Timmermann, Allan
3
Almeida, Caio
2
Asai, Manabu
2
Bekaert, Geert
2
Garcia, René
2
Georgiev, Iliyan
2
Hautsch, Nikolaus
2
Li, Canlin
2
Li, Jia
2
Liao, Yuan
2
Linton, Oliver
2
McAleer, Michael
2
Paolella, Marc S.
2
Patton, Andrew J.
2
Pelger, Markus
2
Peng, Liang
2
Perron, Benoit
2
Polak, Pawel
2
Sheppard, Kevin
2
Wachter, Jessica
2
Warusawitharana, Missaka
2
Yang, Xiye
2
Zhang, Lan
2
Zheng, Xinghua
2
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
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Journal of econometrics
Finance research letters
609
Journal of banking & finance
567
International review of financial analysis
502
Journal of financial economics
456
Journal of empirical finance
376
The journal of finance : the journal of the American Finance Association
374
Pacific-Basin finance journal
372
Applied financial economics
355
International review of economics & finance : IREF
344
Applied economics
313
Applied economics letters
280
The review of financial studies
263
Research in international business and finance
257
Journal of international financial markets, institutions & money
253
The European journal of finance
252
The North American journal of economics and finance : a journal of financial economics studies
249
Journal of financial and quantitative analysis : JFQA
247
Review of quantitative finance and accounting
247
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
204
Economic modelling
189
Management science : journal of the Institute for Operations Research and the Management Sciences
187
Economics letters
185
International journal of economics and finance
180
Energy economics
166
Journal of risk and financial management : JRFM
165
The journal of real estate finance and economics
162
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
155
Investment management and financial innovations
146
Journal of international money and finance
141
The journal of asset management
140
International journal of economics and financial issues : IJEFI
139
Journal of financial markets
137
International journal of finance & economics : IJFE
124
Global finance journal
123
The financial review : the official publication of the Eastern Finance Association
114
The journal of portfolio management : a publication of Institutional Investor
112
Managerial finance
110
The journal of corporate finance : contracting, governance and organization
110
Cogent economics & finance
109
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ECONIS (ZBW)
137
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1
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
2
Post-processed posteriors for sparse covariances
Lee, Kwangmin
;
Lee, Jaeyong
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014332347
Saved in:
3
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
4
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
5
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:
6
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
7
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
8
Penetrating sporadic return predictability
Tu, Yundong
;
Xie, Xinling
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
Saved in:
9
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
10
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
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