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~person:"Andersen, Torben"
~person:"Bos, Charles S."
~person:"Karmakar, Sayar"
~person:"Medeiros, Marcelo C."
~person:"Merton, Robert C."
~person:"Sunderam, Adi"
~subject:"Measurement"
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Andersen, Torben
Bos, Charles S.
Karmakar, Sayar
Medeiros, Marcelo C.
Merton, Robert C.
Sunderam, Adi
Diebold, Francis X.
12
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9
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8
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7
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6
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5
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5
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5
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5
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5
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4
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4
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4
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3
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ECONIS (ZBW)
15
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date (oldest first)
1
Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin
-
2019
-to-market ratio of low-
volatility
stocks minus the book-to-market ratio of high-
volatility
stocks. PVS<sub>t</sub> is high when …
Persistent link: https://www.econbiz.de/10012480235
Saved in:
2
Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin E.
-
2019
-to-market ratio of low-
volatility
stocks minus the book-to-market ratio of high-
volatility
stocks. PVSt is high when perceived risk …
Persistent link: https://www.econbiz.de/10012902628
Saved in:
3
A measure of risk appetite for the macroeconomy
Pflueger, Carolin E.
;
Siriwardane, Emil N.
;
Sunderam, Adi
-
2018
Persistent link: https://www.econbiz.de/10011873657
Saved in:
4
Financial market risk perceptions and the macroeconomy
Pflueger, Carolin E.
;
Siriwardane, Emil N.
;
Sunderam, Adi
- In:
The quarterly journal of economics
135
(
2020
)
3
,
pp. 1443-1491
Persistent link: https://www.econbiz.de/10012259151
Saved in:
5
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic
volatility
Bos, Charles S.
-
2008
When analysing the
volatility
related to high frequency financial data, mostly non-parametric approaches based on … stochastic
volatility
. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10011374428
Saved in:
6
Asymmetry and long memory in
volatility
modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695596
Saved in:
7
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic
volatility
Bos, Charles S.
-
2008
Persistent link: https://www.econbiz.de/10003645209
Saved in:
8
A new framework for analyzing and managing macrofinancial risks of an economy
Gray, Dale
;
Merton, Robert C.
;
Bodie, Zvi
-
2006
Persistent link: https://www.econbiz.de/10003388263
Saved in:
9
A new framework for analyzing and managing macrofinancial risks of an economy
Gray, Dale
(
contributor
);
Merton, Robert C.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003436639
Saved in:
10
A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy
Gray, Dale F.
-
2006
accounting, improve price and
volatility
discovery, and expand international risk intermediation activities …
Persistent link: https://www.econbiz.de/10012466024
Saved in:
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