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A non-linear dynamic model of the variance risk premium
Eraker, Bjørn; Wang, Jiakou - In: Journal of econometrics 187 (2015) 2, pp. 547-556
Persistent link: https://www.econbiz.de/10011499758
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Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach
Peñaranda, Francisco; Sentana, Enrique - In: Journal of econometrics 170 (2012) 2, pp. 303-324
Persistent link: https://www.econbiz.de/10009685912
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Econometric methods for derivative securities and risk management
Garcia, René (contributor) - In: Journal of econometrics 94 : Annals of econometrics (2000)
Persistent link: https://www.econbiz.de/10004678224
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
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The home bias of the poor : foreign asset portfolios across the wealth distribution
Broer, Tobias - In: European economic review : EER 92 (2017), pp. 74-91
Persistent link: https://www.econbiz.de/10011811758
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Asset liquidity and indivisibility
Han, Han; Julien, Benoît; Ásgerdur Pétursdóttir; … - In: European economic review : EER 119 (2019), pp. 236-250
Persistent link: https://www.econbiz.de/10012263259
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Market liquidity as dynamic factors
Hallin, Marc; Mathias, Charles; Pirotte, Hugues; … - In: Journal of econometrics 163 (2011) 1, pp. 42-50
Persistent link: https://www.econbiz.de/10009270591
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The role of labor-income risk in household risk-taking
Hubar, Sylwia; Koulovatianos, Christos; Li, Jian - In: European economic review : EER 129 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012514896
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Variance disparity and market frictions
Park, Yang-Ho - In: Journal of econometrics 214 (2020) 2, pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
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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