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~isPartOf:"CREATES research paper"
~isPartOf:"China economic review : an international journal"
~isPartOf:"Journal of econometrics"
~person:"Barigozzi, Matteo"
~person:"Bollerslev, Tim"
~person:"Engle, Robert F."
~person:"Kim, Donggyu"
~subject:"Schätztheorie"
~subject:"United States"
~subject:"Volatility"
~subject:"Volatilität"
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Barigozzi, Matteo
Bollerslev, Tim
Engle, Robert F.
Kim, Donggyu
Todorov, Viktor
17
Tauchen, George Eugene
9
Slottje, Daniel Jonathan
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CREATES research paper
China economic review : an international journal
Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
22
Discussion paper / Department of Economics, University of California San Diego
11
NBER working paper series
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Discussion paper / Centre for Economic Policy Research
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ECONIS (ZBW)
27
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1
Tails, fears and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003849565
Saved in:
2
Estimation
of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
3
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
4
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Saved in:
5
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:
6
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo
;
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
Saved in:
7
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:
8
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:
9
Large-dimensional dynamic factor models :
estimation
of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Saved in:
10
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
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