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Asset-pricing anomalies at the firm level
Cederburg, Scott; O'Doherty, Michael - In: Journal of econometrics 186 (2015) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10011349540
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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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ARCH models in finance
Engle, Robert F. (contributor) - In: Journal of econometrics 52 (1992) 1, pp. 1-311
Persistent link: https://www.econbiz.de/10001121076
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Estimating latent asset-pricing factors
Lettau, Martin; Pelger, Markus - In: Journal of econometrics 218 (2020) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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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
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A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - In: Journal of econometrics 147 (2008) 1, pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
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The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of econometrics 167 (2012) 1, pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
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Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J. - In: Journal of econometrics 160 (2011) 1, pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
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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