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~isPartOf:"Journal of econometrics"
~subject:"Announcement effect"
~subject:"Forecasting model"
~subject:"USA"
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Announcement effect
Forecasting model
USA
Capital income
137
Kapitaleinkommen
137
Volatility
70
Volatilität
70
Theorie
55
Theory
55
Estimation
53
Schätzung
53
Estimation theory
46
Schätztheorie
46
Prognoseverfahren
45
Börsenkurs
42
Share price
42
Time series analysis
38
Zeitreihenanalyse
38
Portfolio selection
23
Portfolio-Management
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ARCH model
22
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CAPM
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Stochastic process
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Stochastischer Prozess
19
Regression analysis
18
Regressionsanalyse
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Correlation
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Korrelation
17
Market microstructure
16
Marktmikrostruktur
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High-frequency data
15
Risikoprämie
15
Risk premium
15
Factor analysis
13
Faktorenanalyse
13
Statistical distribution
12
Statistische Verteilung
12
Nichtparametrisches Verfahren
10
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10
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9
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English
53
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Taylor, Robert
4
Xiu, Dacheng
4
Demetrescu, Matei
3
Rodrigues, Paulo M. M.
3
Andersen, Torben
2
Aït-Sahalia, Yacine
2
Diebold, Francis X.
2
Georgiev, Iliyan
2
Li, Canlin
2
Liao, Yuan
2
Todorov, Viktor
2
Anderson, Heather M.
1
Andreou, Elena
1
Asai, Manabu
1
Bakalli, Gaetan
1
Bandi, F. M.
1
Bandi, Federico M.
1
Bansal, Ravi
1
Bauer, Gregory H.
1
Bekaert, Geert
1
Bollerslev, Tim
1
Breidt, F. Jay
1
Caginalp, Gunduz
1
Cai, Zongwu
1
Calvet, Laurent E.
1
Cheng, Mingmian
1
Choi, Yongok
1
Connor, Gregory
1
Crato, Nuno
1
Dai, Chaoxing
1
DeLima, Pedro J. F.
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DeSantis, Mark
1
Dhaene, Geert
1
Ding, Yashuang
1
Duong, Diep
1
Fan, Jianqing
1
Fisher, Adlai
1
Fulop, Andras
1
Griffin, J. E.
1
Gu, Shihao
1
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
306
The journal of finance : the journal of the American Finance Association
273
Finance research letters
223
The review of financial studies
219
Journal of financial economics
206
Journal of banking & finance
199
International review of financial analysis
169
Journal of empirical finance
151
Journal of financial and quantitative analysis : JFQA
137
International review of economics & finance : IREF
122
Review of quantitative finance and accounting
102
Applied financial economics
99
Pacific-Basin finance journal
96
The North American journal of economics and finance : a journal of financial economics studies
96
The journal of real estate finance and economics
96
International journal of forecasting
90
Journal of forecasting
87
NBER working paper series
86
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
83
Applied economics
82
The European journal of finance
77
Research in international business and finance
67
Applied economics letters
66
Finance and economics discussion series
62
Journal of international financial markets, institutions & money
62
Working paper
62
Discussion paper / Centre for Economic Policy Research
59
Economic modelling
58
Management science : journal of the Institute for Operations Research and the Management Sciences
58
NBER Working Paper
58
Energy economics
57
The financial review : the official publication of the Eastern Finance Association
57
Economics letters
55
The journal of business : B
54
Journal of economics and finance
53
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
52
Journal of economics & business
47
Quarterly journal of business and economics : QJBE
47
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
53
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1
Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach
Diebold, Francis X.
;
Li, Canlin
;
Yue, Vivian Z.
- In:
Journal of econometrics
146
(
2008
)
2
,
pp. 351-363
Persistent link: https://www.econbiz.de/10003782998
Saved in:
2
The common and specific components of dynamic volatility
Connor, Gregory
;
Korajczyk, Robert A.
;
Linton, Oliver
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
Saved in:
3
Forecasting the term structure of government bond yields
Diebold, Francis X.
;
Li, Canlin
- In:
Journal of econometrics
130
(
2006
)
2
,
pp. 337-364
Persistent link: https://www.econbiz.de/10003277971
Saved in:
4
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.
;
Steel, Mark F. J.
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
Saved in:
5
Nonlinearity, nonstationarity, and spurious forecasts
Marmer, Vadim
- In:
Journal of econometrics
142
(
2008
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10003608083
Saved in:
6
Forecasting multivariate realized stock market volatility
Bauer, Gregory H.
;
Vorkink, Keith
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
Saved in:
7
Do high-frequency measures of volatility improve forecasts of return distributions?
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 69-76
Persistent link: https://www.econbiz.de/10009242544
Saved in:
8
Nonparametric predictive regression
Kasparis, Ioannis
;
Andreou, Elena
;
Phillips, Peter C. B.
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
Saved in:
9
What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio
Wachter, Jessica
;
Warusawitharana, Missaka
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 74-93
Persistent link: https://www.econbiz.de/10011349544
Saved in:
10
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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