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~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"High-frequency data"
~subject:"Investmentfonds"
~subject:"Theory"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
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Search: subject:"Capital income"
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ARCH model
High-frequency data
Investmentfonds
Theory
Capital income
137
Kapitaleinkommen
137
Volatility
70
Volatilität
70
Theorie
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
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Portfolio selection
23
Portfolio-Management
23
ARCH-Modell
22
CAPM
20
Stochastic process
19
Stochastischer Prozess
19
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18
Regressionsanalyse
18
Correlation
17
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17
Market microstructure
16
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16
Risikoprämie
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Risk premium
15
Factor analysis
13
Faktorenanalyse
13
Statistical distribution
12
Statistische Verteilung
12
Nichtparametrisches Verfahren
10
Nonparametric statistics
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High frequency data
9
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Article in journal
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English
75
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Todorov, Viktor
7
Bollerslev, Tim
6
Xiu, Dacheng
5
Tauchen, George Eugene
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Renault, Eric
3
Asai, Manabu
2
Diebold, Francis X.
2
Li, Jia
2
Liao, Yuan
2
McAleer, Michael
2
Meddahi, Nour
2
Paolella, Marc S.
2
Pelger, Markus
2
Peng, Liang
2
Polak, Pawel
2
Timmermann, Allan
2
Anderson, Heather M.
1
Andreou, Elena
1
Bandi, F. M.
1
Bandi, Federico M.
1
Bekaert, Geert
1
Bibinger, Markus
1
Blake, David
1
Breidt, F. Jay
1
Cai, Zongwu
1
Calvet, Laurent E.
1
Caulfield, Tristan
1
Cederburg, Scott
1
Chan, Kung-sik
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Rui
1
Cheng, Mingmian
1
Christensen, Jens H. E.
1
Chu, Amanda M. Y.
1
Connor, Gregory
1
Crato, Nuno
1
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Journal of econometrics
Journal of banking & finance
215
Finance research letters
188
Journal of financial economics
174
Journal of empirical finance
169
International review of financial analysis
149
International review of economics & finance : IREF
128
The journal of finance : the journal of the American Finance Association
116
The European journal of finance
98
The review of financial studies
97
The North American journal of economics and finance : a journal of financial economics studies
95
Applied economics
90
Economics letters
84
Economic modelling
81
Journal of economic dynamics & control
80
Journal of financial and quantitative analysis : JFQA
77
Review of quantitative finance and accounting
74
Journal of international financial markets, institutions & money
73
Management science : journal of the Institute for Operations Research and the Management Sciences
73
Applied financial economics
72
International tax and public finance
71
Applied economics letters
70
Research in international business and finance
69
International journal of forecasting
67
Journal of risk and financial management : JRFM
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Pacific-Basin finance journal
63
The journal of asset management
60
Journal of forecasting
58
Journal of public economics
54
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
Energy economics
48
Quantitative finance
44
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
41
FinanzArchiv : public finance analysis
40
International journal of economics and finance
40
International journal of finance & economics : IJFE
40
Journal of financial markets
39
Journal of international money and finance
39
Financial markets and portfolio management
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ECONIS (ZBW)
75
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1
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10
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75
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date (oldest first)
1
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:
2
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:
3
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
Saved in:
4
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:
5
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Cheng, Mingmian
;
Liao, Yuan
;
Yang, Xiye
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471816
Saved in:
6
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
7
Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
Saved in:
8
Bootstrap analysis of mutual fund performance
Huang, Haitao
;
Jiang, Lei
;
Leng, Xuan
;
Peng, Liang
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 239-255
Persistent link: https://www.econbiz.de/10014434393
Saved in:
9
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:
10
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:
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