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subject:"USA"
~isPartOf:"Journal of econometrics"
~person:"Aït-Sahalia, Yacine"
~person:"Bansal, Ravi"
~source:"econis"
~subject:"Capital income"
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USA
Capital income
Volatility
7
Volatilität
7
Estimation
5
Schätzung
5
Kapitaleinkommen
4
Theorie
4
Theory
4
Estimation theory
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Risikoprämie
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Risk premium
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Factor analysis
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Japan
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Option pricing theory
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Optionspreistheorie
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United States
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1973-1998
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Big data
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Börsenkurs
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CDS
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Cash Flow
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Continuous and jump components
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Aït-Sahalia, Yacine
Bansal, Ravi
Todorov, Viktor
8
Bollerslev, Tim
6
Andersen, Torben
5
Xiu, Dacheng
4
Koop, Gary
3
Tauchen, George Eugene
3
Baltagi, Badi H.
2
Demetrescu, Matei
2
Fulop, Andras
2
Harvey, Andrew C.
2
Li, Jia
2
Li, Yingying
2
Mayer, Walter James
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McAleer, Michael
2
Meddahi, Nour
2
Mroz, Thomas A.
2
Paolella, Marc S.
2
Park, Joon Y.
2
Patton, Andrew J.
2
Pelger, Markus
2
Polak, Pawel
2
Ryu, Hang-keun
2
Slottje, Daniel Jonathan
2
Steel, Mark F. J.
2
Taylor, Robert
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Zhou, Hao
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Altissimo, Filippo
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Andreou, Elena
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Aruoba, S. Borağan
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1
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
8
The journal of finance : the journal of the American Finance Association
4
Finance and economics discussion series
2
Journal of financial economics
2
Annales d'économie et de statistique
1
CEA_372Cass working paper series
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Econometrics of imperfect competition
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Faculty research papers / The Fuqua School of Business, Duke University
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi
;
Lundblad, Christian
- In:
Journal of econometrics
109
(
2002
)
2
,
pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
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2
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
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3
Do option markets correctly price the probabilities of movement of the underlying asset?
Aït-Sahalia, Yacine
;
Wang, Yubo
;
Yared, Francis
- In:
Journal of econometrics
102
(
2001
)
1
,
pp. 67-110
Persistent link: https://www.econbiz.de/10001575286
Saved in:
4
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
5
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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