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ECONIS (ZBW)
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1
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
2
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
Saved in:
3
Structural analysis of vector error correction models with exogenous I (1) variables
Pesaran, M. Hashem
;
Shin, Yongcheol
;
Smith, Richard J.
- In:
Journal of econometrics
97
(
2000
)
2
,
pp. 293-343
Persistent link: https://www.econbiz.de/10001496593
Saved in:
4
Cointegration and speed of convergence to equilibrium
Pesaran, M. Hashem
- In:
Journal of econometrics
71
(
1996
)
1
,
pp. 117-143
Persistent link: https://www.econbiz.de/10001194740
Saved in:
5
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
6
An evaluation of multi-factor CIR models using LIBOR,
swap
rates, and cap and swaption prices
Jagannathan, Ravi
;
Kaplin, Andrew
;
Sun, Steve
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 113-146
Persistent link: https://www.econbiz.de/10001772145
Saved in:
7
Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
Saved in:
8
Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A.
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
Saved in:
9
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:
10
Affine
arbitrage
-free yield net models with application to the euro debt crisis
Hong, Zhiwu
;
Niu, Linlin
;
Zhang, Chen
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 201-220
Persistent link: https://www.econbiz.de/10013441937
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