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subject:"USA"
~isPartOf:"Journal of econometrics"
~person:"Bansal, Ravi"
~person:"Todorov, Viktor"
~source:"econis"
~subject:"Capital income"
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USA
Capital income
Estimation
14
Schätzung
14
Volatility
14
Volatilität
14
Kapitaleinkommen
9
Stochastic process
9
Stochastischer Prozess
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Börsenkurs
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High-frequency data
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Share price
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Japan
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Jumps
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Laplace transform
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Option trading
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Options
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Bansal, Ravi
Todorov, Viktor
Bollerslev, Tim
6
Andersen, Torben
5
Aït-Sahalia, Yacine
4
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
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Ryu, Hang-keun
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Slottje, Daniel Jonathan
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Steel, Mark F. J.
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Taylor, Robert
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Zhou, Hao
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Andreou, Elena
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Aruoba, S. Borağan
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
6
CREATES research paper
5
Journal of financial economics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
The journal of finance : the journal of the American Finance Association
3
ERID working paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Finance and economics discussion series
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CREATES Research Paper
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Economic Research Initiatives at Duke (ERID) Working Paper
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Journal of applied econometrics
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Journal of political economy
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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
Saved in:
2
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
Saved in:
3
Volatility activity : specification and
estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
4
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:
5
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Adaptive
estimation
of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
8
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
9
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
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