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Liquidity constraints, risk pr...
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1
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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2
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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3
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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4
Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
Saved in:
5
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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6
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
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7
Time-varying sparsity in dynamic regression models
Kalli, Maria
;
Griffin, Jim E.
- In:
Journal of econometrics
178
(
2014
)
2
,
pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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8
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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9
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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10
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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