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person:"Lakonishok, Josef"
~person:"Bollerslev, Tim"
~person:"Zhang, Lu"
~subject:"Estimation"
~subject:"Finanzmarkt"
~subject:"Risikoprämie"
~type:"article"
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Estimation
Finanzmarkt
Risikoprämie
Capital income
58
Kapitaleinkommen
58
Volatility
26
Volatilität
26
USA
22
United States
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24
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Lakonishok, Josef
Bollerslev, Tim
Zhang, Lu
Gupta, Rangan
70
Zaremba, Adam
66
Wohar, Mark E.
35
McMillan, David G.
33
Cakici, Nusret
22
Narayan, Paresh Kumar
22
Wang, Yudong
22
Bali, Turan G.
21
Pierdzioch, Christian
21
Ma, Feng
19
Tiwari, Aviral Kumar
19
Chiang, Thomas C.
18
Todorov, Viktor
18
Demirer, Rıza
17
Bouri, Elie
16
Gil-Alaña, Luis A.
16
Kumar, Dilip
16
Long, Huaigang
16
Sehgal, Sanjay
16
Zhang, Yaojie
16
Balcilar, Mehmet
15
Tauchen, George Eugene
13
Xuan Vinh Vo
13
Yin, Libo
13
Brooks, Robert
12
Umutlu, Mehmet
12
Bohl, Martin T.
11
Caporale, Guglielmo Maria
11
Faff, Robert W.
11
Jareño, Francisco
11
Lee, Chien-chiang
11
Li, Bin
11
Maio, Paulo
11
Yang, Chunpeng
11
Zhou, Guofu
11
Zhu, Xiaoneng
11
Ammann, Manuel
10
Andersen, Torben
10
Apergēs, Nikolaos
10
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Journal of econometrics
6
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 financial studies
2
Handbook of economic forecasting ; 1
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 economic dynamics & control
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Journal of financial markets
1
Review of finance : journal of the European Finance Association
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Symposium on forecasting and empirical methods in macroeconomics and finance
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ECONIS (ZBW)
24
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1
Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben
- In:
International economic review
39
(
1998
)
4
,
pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
Saved in:
2
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:
3
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:
4
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:
5
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
6
Modeling and forecasting realized volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
Saved in:
7
Equilibrium stock return dynamics under alternative rules of learning about hidden states
Brandt, Michael W.
;
Zeng, Qi
;
Zhang, Lu
- In:
Journal of economic dynamics & control
28
(
2004
)
10
,
pp. 1925-1954
Persistent link: https://www.econbiz.de/10002099538
Saved in:
8
Expected stock returns and variance risk premia
Bollerslev, Tim
;
Tauchen, George Eugene
;
Zhou, Hao
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4463-4492
Persistent link: https://www.econbiz.de/10003896321
Saved in:
9
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
10
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
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