Narrow search
Showing 1 - 10 of 837
Cover Image
Climate risks and market efficiency
Hong, Harrison G.; Li, Frank Weikai; Xu, Jiangmin - In: Journal of econometrics 208 (2019) 1, pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Cover Image
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
Cover Image
Tail risk and return predictability for the Japanese equity market
Andersen, Torben; Todorov, Viktor; Ubukata, Masato - In: Journal of econometrics 222 (2021) 1,2, pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
Cover Image
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
Cover Image
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