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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076
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"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
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A variance decomposition for stock returns
Campbell, John Y. - 1990
Persistent link: https://www.econbiz.de/10000784199
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Will bequests attenuate the predicted meltdown in stock prices when baby boomers retire?
Abel, Andrew B. - 2001
Persistent link: https://www.econbiz.de/10001557213
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Forecasting transaction rates : the autoregressive conditional duration model
Engle, Robert F.; Russell, Jeffrey R. - 1994
Persistent link: https://www.econbiz.de/10000147454
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The comovements between real activity and prices at different business cycle frequences
Den Haan, Wouter J. - 1996
Persistent link: https://www.econbiz.de/10000588582
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Interpreting cointegrated models
Campbell, John Y.; Shiller, Robert J. - 1988
Persistent link: https://www.econbiz.de/10000753535
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Tempered particle filtering
Herbst, Edward P.; Schorfheide, Frank - 2017
Persistent link: https://www.econbiz.de/10011674409
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Modeling model uncertainty
Onatski, Alexei; Williams, Noah - 2003
Persistent link: https://www.econbiz.de/10001746748
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - In: Journal of financial economics 131 (2019) 3, pp. 593-618
Persistent link: https://www.econbiz.de/10012133017