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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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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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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
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
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ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
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Asset pricing with neural networks : significance tests
Fallahgoul, Hasan; Franstianto, Vincentius; Lin, Xin - In: Journal of econometrics 238 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10015073811
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Examining macroeconomic models through the lens of asset pricing
Borovička, Jaroslav; Hansen, Lars Peter - In: Journal of econometrics 183 (2014) 1, pp. 67-90
Persistent link: https://www.econbiz.de/10010506087
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Ex-post risk premia estimation and asset pricing tests using large cross sections : the regression-calibration approach
Kim, Soohun; Skoulakis, Georgios - In: Journal of econometrics 204 (2018) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10011974727
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Factor models with many assets : strong factors, weak factors, and the two-pass procedure
Anatolyev, Stanislav; Mikusheva, Anna - In: Journal of econometrics 229 (2022) 1, pp. 103-126
Persistent link: https://www.econbiz.de/10013441835