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person:"Zhang, Lu"
~person:"Andersen, Torben"
~person:"Caporale, Guglielmo Maria"
~person:"Gil-Alaña, Luis A."
~person:"Guidolin, Massimo"
~person:"Subrahmanyam, Avanidhar"
~subject:"Risikoprämie"
~subject:"Theorie"
~subject:"Time series analysis"
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Zhang, Lu
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1
Conditional leptokurtosis and non-linear dependence in exchange rate returns
Caporale, Guglielmo Maria
;
Hassapis, Christis
;
Pittis, …
-
1994
Persistent link: https://www.econbiz.de/10000897287
Saved in:
2
A theory of overconfidence, self-attribution, and security market under- and over-reactions
Daniel, Kent
;
Hirshleifer, David
;
Subrahmanyam, Avanidhar
-
1997
Persistent link: https://www.econbiz.de/10000958854
Saved in:
3
Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
4
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000603372
Saved in:
5
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:
6
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
7
Realized return volatility, asset pricing, and risk management
Andersen, Torben
;
Bollerslev, Tim
- In:
NBER reporter online
(
2006/2007
)
3
,
pp. 7-10
Persistent link: https://www.econbiz.de/10011366975
Saved in:
8
Exploring asset pricing anomalies
Zhang, Lu
- In:
NBER reporter online
(
2014
)
1
,
pp. 17-19
Persistent link: https://www.econbiz.de/10011368742
Saved in:
9
Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
-
2018
Persistent link: https://www.econbiz.de/10011995731
Saved in:
10
Sentiment risk premia in the cross-section of global equity and currency returns
Füss, Roland
;
Guidolin, Massimo
;
Koeppel, Christian
-
2019
-
This version: August 28, 2019
Persistent link: https://www.econbiz.de/10012101492
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