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Estimation
499
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495
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334
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334
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315
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315
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296
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Timmermann, Allan
19
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16
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15
Linton, Oliver
14
Diebold, Francis X.
13
Patton, Andrew J.
12
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11
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10
Koop, Gary
9
Phillips, Peter C. B.
9
Su, Liangjun
9
Aït-Sahalia, Yacine
8
Mykland, Per A.
8
Pesaran, M. Hashem
8
Taylor, Robert
8
Xiu, Dacheng
8
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7
Dijk, Herman K. van
7
Francq, Christian
7
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7
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7
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7
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6
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Elliott, Graham
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Gallant, A. Ronald
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6
Hsiao, Cheng
6
Lee, Ji Hyung
6
Li, Yingying
6
McAleer, Michael
6
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6
Meddahi, Nour
6
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6
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Conference on Realized Volatility <2006, Montréal>
1
National Bureau of Economic Research
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Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Journal of econometrics
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1,641
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1,562
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1,392
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1,380
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1,370
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1,229
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1,187
International review of financial analysis
1,173
The journal of finance : the journal of the American Finance Association
1,144
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1,087
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1,064
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1,038
International review of economics & finance : IREF
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999
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944
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943
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
900
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890
Pacific-Basin finance journal
791
Discussion paper / Tinbergen Institute
761
The review of financial studies
751
Journal of financial and quantitative analysis : JFQA
737
CESifo Working Paper Series
715
Journal of empirical finance
701
Journal of international money and finance
701
The North American journal of economics and finance : a journal of financial economics studies
685
Research in international business and finance
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ECONIS (ZBW)
830
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1
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1
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:
2
Dividend
suspensions and cash flows during the Covid-19 pandemic : a dynamic econometric model
Pettenuzzo, Davide
;
Sabbatucci, Riccardo
;
Timmermann, Allan
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1522-1541
Persistent link: https://www.econbiz.de/10014471409
Saved in:
3
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:
4
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:
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
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:
8
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:
9
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
Saved in:
10
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
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