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Forecasting model
280
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280
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214
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214
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150
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150
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149
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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
9
Mykland, Per A.
9
Aït-Sahalia, Yacine
8
Xiu, Dacheng
8
Clark, Todd E.
7
Dijk, Herman K. van
7
Linton, Oliver
7
Elliott, Graham
6
Francq, Christian
6
Li, Jia
6
McCracken, Michael W.
6
Meddahi, Nour
6
Schorfheide, Frank
6
Taylor, Robert
6
Zhang, Lan
6
Bandi, Federico M.
5
Corradi, Valentina
5
Demetrescu, Matei
5
Engle, Robert F.
5
Grammig, Joachim
5
Kapetanios, George
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Pesaran, M. Hashem
5
Pettenuzzo, Davide
5
Renault, Eric
5
Rodrigues, Paulo M. M.
5
Rossi, Barbara
5
Shephard, Neil G.
5
Cai, Zongwu
4
Fan, Jianqing
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
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Journal of econometrics
International journal of forecasting
1,620
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1,606
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1,415
Finance research letters
1,193
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1,191
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1,180
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1,059
International review of financial analysis
1,021
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1,000
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913
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817
The review of financial studies
774
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728
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725
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723
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712
International review of economics & finance : IREF
701
Economics Papers from University Paris Dauphine
698
Journal of financial and quantitative analysis : JFQA
681
Journal of empirical finance
659
Discussion paper / Centre for Economic Policy Research
638
Economic modelling
602
Economics letters
583
Energy economics
577
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535
Review of quantitative finance and accounting
531
The North American journal of economics and finance : a journal of financial economics studies
528
Journal of international financial markets, institutions & money
519
Research in international business and finance
475
The European journal of finance
472
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
450
Management science : journal of the Institute for Operations Research and the Management Sciences
433
CESifo working papers
431
Research paper series / Swiss Finance Institute
423
The journal of futures markets
401
Journal of risk and financial management : JRFM
400
ECB Working Paper
388
Journal of international money and finance
384
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
482
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1
Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
Saved in:
2
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:
3
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:
4
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:
5
A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui
;
Yang, Bingduo
;
Cai, Zongwu
;
Peng, Liang
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
Saved in:
6
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
Saved in:
7
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:
8
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
Saved in:
9
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:
10
Economic tracking portfolios
Lamont, Owen A.
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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