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~isPartOf:"Journal of econometrics"
~subject:"CAPM"
~subject:"Hedging"
~subject:"Schätzung"
~subject:"Unvollkommener Markt"
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CAPM
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Martingal
38
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38
Volatility
16
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15
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Journal of econometrics
Finance and stochastics
34
Mathematical finance : an international journal of mathematics, statistics and financial theory
27
International journal of theoretical and applied finance
16
Research paper series / Swiss Finance Institute
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
14
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1
Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.
;
Pirotte, Alain
;
Yang, Zhenlin
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 245-270
Persistent link: https://www.econbiz.de/10013275390
Saved in:
2
Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
Saved in:
3
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
4
Unified M-estimation of fixed-effects spatial dynamic models with short panels
Yang, Zhenlin
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012110313
Saved in:
5
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
6
Testing for non-correlation between price and volatility jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
7
On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
Saved in:
8
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
9
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:
10
Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper
;
Posch, Olaf
;
Wel, Michel van der
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 116-137
Persistent link: https://www.econbiz.de/10011705052
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