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~person:"Bollerslev, Tim"
~subject:"ARCH model"
~subject:"Investmentfonds"
~subject:"Volatilität"
~type_genre:"Article in journal"
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ARCH model
Investmentfonds
Volatilität
Capital income
26
Kapitaleinkommen
26
Volatility
24
Estimation
18
Schätzung
18
Börsenkurs
11
Share price
11
Theorie
11
Theory
11
Forecasting model
9
Prognoseverfahren
9
Risikoprämie
8
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Time series analysis
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Article in journal
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Bollerslev, Tim
Gupta, Rangan
62
Bouri, Elie
29
Ma, Feng
27
Chiang, Thomas C.
26
Kumar, Dilip
20
McMillan, David G.
20
Wang, Yudong
20
Wohar, Mark E.
18
Demirer, Rıza
17
Todorov, Viktor
17
Caporale, Guglielmo Maria
16
McAleer, Michael
16
O'Sullivan, Niall
15
Pierdzioch, Christian
15
Tiwari, Aviral Kumar
15
Andersen, Torben
14
Balcilar, Mehmet
14
Fletcher, Jonathan
14
Zhang, Wei
14
Zhang, Yaojie
14
Brooks, Robert
13
Clare, Andrew D.
13
Faff, Robert W.
13
Gil-Alaña, Luis A.
13
Matallín-Sáez, Juan Carlos
13
Mateus, Cesario
13
Zaremba, Adam
13
Asai, Manabu
12
Bali, Turan G.
12
Elyasiani, Elyas
12
Li, Yan
12
Liang, Chao
12
Molnár, Peter
12
Nguyen, Duc Khuong
12
Ryu, Doojin
12
Xuan Vinh Vo
12
Floros, Christos
11
Kryzanowski, Lawrence
11
Nitzsche, Dirk
11
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Journal of econometrics
8
Journal of financial economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
The review of economics and statistics
2
Economics letters
1
International economic review
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
NBER reporter online
1
Review of finance : journal of the European Finance Association
1
Symposium on forecasting and empirical methods in macroeconomics and finance
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ECONIS (ZBW)
24
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24
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1
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
2
Equity clusters through the lens of realized semicorrelations
Bollerslev, Tim
;
Patton, Andrew J.
;
Zhang, Haozhe
- In:
Economics letters
211
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10013172536
Saved in:
3
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
4
Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
Saved in:
5
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
6
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
7
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
8
Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
- In:
Journal of financial economics
120
(
2016
)
3
,
pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
Saved in:
9
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
Saved in:
10
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
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