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Forecasting model
280
Prognoseverfahren
280
Theorie
185
Theory
185
Volatility
139
Volatilität
139
Capital income
137
Kapitaleinkommen
137
Estimation theory
136
Schätztheorie
136
Time series analysis
135
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135
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118
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105
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104
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Timmermann, Allan
18
Bollerslev, Tim
14
Diebold, Francis X.
11
Patton, Andrew J.
11
Tauchen, George Eugene
11
Todorov, Viktor
11
Swanson, Norman R.
10
Andersen, Torben
9
Ghysels, Eric
8
Xiu, Dacheng
8
Clark, Todd E.
7
Dijk, Herman K. van
7
Linton, Oliver
7
Mykland, Per A.
7
Elliott, Graham
6
Li, Jia
6
McCracken, Michael W.
6
Meddahi, Nour
6
Schorfheide, Frank
6
Taylor, Robert
6
Corradi, Valentina
5
Demetrescu, Matei
5
Francq, Christian
5
Kapetanios, George
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Pesaran, M. Hashem
5
Pettenuzzo, Davide
5
Rodrigues, Paulo M. M.
5
Rossi, Barbara
5
Shephard, Neil G.
5
Zhang, Lan
5
Aït-Sahalia, Yacine
4
Fan, Jianqing
4
Gallant, A. Ronald
4
Giacomini, Raffaella
4
Koop, Gary
4
Li, Yingying
4
Maheu, John M.
4
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Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
Published in...
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Journal of econometrics
International journal of forecasting
1,619
NBER working paper series
1,478
Working paper / National Bureau of Economic Research, Inc.
1,340
Finance research letters
1,326
NBER Working Paper
1,127
Journal of banking & finance
1,043
International review of financial analysis
970
Journal of forecasting
913
The journal of finance : the journal of the American Finance Association
899
Technological forecasting & social change : an international journal
878
Journal of financial economics
857
Applied economics
824
Applied economics letters
720
Pacific-Basin finance journal
695
Applied financial economics
683
International review of economics & finance : IREF
680
Discussion paper / Centre for Economic Policy Research
641
Energy economics
641
The review of financial studies
618
Research policy : policy, management and economic studies of science, technology and innovation
617
Journal of financial and quantitative analysis : JFQA
607
Journal of empirical finance
585
Economic modelling
570
Working paper
568
Economics letters
550
Research in international business and finance
528
The North American journal of economics and finance : a journal of financial economics studies
505
Journal of international financial markets, institutions & money
492
Review of quantitative finance and accounting
484
The European journal of finance
444
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
424
Management science : journal of the Institute for Operations Research and the Management Sciences
420
CESifo working papers
408
Journal of risk and financial management : JRFM
361
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
358
International journal of economics and finance
349
European journal of operational research : EJOR
335
Journal of international money and finance
331
The journal of futures markets
330
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ECONIS (ZBW)
431
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1
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10
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431
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1
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:
2
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:
3
The VIX, the variance premium and stock market volatility
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
Saved in:
4
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:
5
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
6
Economic tracking portfolios
Lamont, Owen A.
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
Saved in:
7
Simple tests for stock return predictability with good size and power properties
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 198-214
Persistent link: https://www.econbiz.de/10013275372
Saved in:
8
Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
Saved in:
9
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
10
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin
;
Luger, Richard
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
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