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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
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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
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Residual autocorrelation testing for vector error correction models
Brüggemann, Ralf; Lütkepohl, Helmut; Saikkonen, Pentti - In: Journal of econometrics 134 (2006) 2, pp. 579-604
Persistent link: https://www.econbiz.de/10003374345
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Prediction tests for structural stability
Lütkepohl, Helmut - In: Journal of econometrics 39 (1988) 3, pp. 267-296
Persistent link: https://www.econbiz.de/10003622419
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
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Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of econometrics 172 (2013) 2, pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
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Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut; Lütkepohl, Helmut - In: Journal of econometrics 183 (2014) 1, pp. 104-116
Persistent link: https://www.econbiz.de/10010506080
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Volatility puzzles: a simple framework for gauging return-volatility regressions
Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 131 (2006) 1/2, pp. 123-150
Persistent link: https://www.econbiz.de/10003298567
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Semiparametric estimation of long-memory volatility dependencies : the role of high-frequency data
Bollerslev, Tim; Wright, Jonathan H. - In: Journal of econometrics 98 (2000) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001497682
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General-to-specific or specific-to-general modelling? : an opinion on current econometric terminology
Lütkepohl, Helmut - In: Journal of econometrics 136 (2007) 1, pp. 319-324
Persistent link: https://www.econbiz.de/10003401661