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~subject:"CAPM"
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Tails, fears and risk premia
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Subject
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CAPM
Volatilität
200
Volatility
199
Theorie
130
Theory
129
Schätzung
98
Capital income
97
Estimation
97
Kapitaleinkommen
97
Börsenkurs
70
Share price
70
Time series analysis
66
Zeitreihenanalyse
66
Prognoseverfahren
64
USA
64
Forecasting model
63
United States
61
Estimation theory
48
Schätztheorie
48
Risikoprämie
46
Risk premium
46
Stochastic process
44
Stochastischer Prozess
44
ARCH-Modell
35
high-frequency data
35
ARCH model
34
Ankündigungseffekt
30
Announcement effect
29
Exchange rate
28
Nichtparametrisches Verfahren
28
Nonparametric statistics
28
Wechselkurs
28
High-frequency data
24
Risk
24
Aktienmarkt
23
Deutschland
23
jumps
23
Devisenmarkt
22
Foreign exchange market
22
Germany
22
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Online availability
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Free
12
Undetermined
7
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Article
15
Book / Working Paper
15
Type of publication (narrower categories)
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Article in journal
14
Aufsatz in Zeitschrift
14
Working Paper
7
Arbeitspapier
6
Graue Literatur
5
Non-commercial literature
5
Aufsatz im Buch
1
Book section
1
Systematic review
1
Übersichtsarbeit
1
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Language
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English
28
Undetermined
2
Author
All
Bollerslev, Tim
22
Todorov, Viktor
12
Andersen, Torben
10
Andersen, Torben G.
6
Diebold, Francis X.
6
Wu, Jin
6
Fusari, Nicola
3
Li, Sophia Zhengzi
3
Tauchen, George Eugene
3
Dobrev, Dobrislav
2
Patton, Andrew J.
2
Quaedvlieg, Rogier
2
Thyrsgaard, Martin
2
Engle, Robert F.
1
Frederiksen, Per
1
Ghysels, Eric
1
Hodrick, Robert J.
1
Law, Tzuo Hann
1
Li, Jia
1
Meddahi, Nour
1
Nielsen, Morten Ørregaard
1
Reiß, Markus
1
Riva, Raul
1
Wooldridge, Jeffrey M.
1
Zhang, Benjamin Y. B.
1
Zhang, Congshan
1
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Institution
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Center for Financial Studies
2
Department of Economics, University of Pennsylvania
1
National Bureau of Economic Research
1
Published in...
All
Journal of econometrics
4
Journal of financial economics
3
CFS Working Paper Series
2
CREATES research paper
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
CFS Working Paper
1
CFS working paper series
1
Econometric analysis of financial and economic time series ; part B
1
International economic review
1
Journal of empirical finance
1
Journal of political economy
1
NBER Working Paper
1
NBER reporter online
1
NBER working paper series
1
PIER Working Paper Archive
1
Quantitative economics : QE ; journal of the Econometric Society
1
Queen's Economics Department working paper
1
SFB 649 discussion paper
1
Working paper / National Bureau of Economic Research, Inc.
1
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ECONIS (ZBW)
26
RePEc
3
EconStor
1
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1
Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
- In:
Journal of financial economics
120
(
2016
)
3
,
pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
Saved in:
2
Roughing up beta : continuous vs. discontinuous betas, and the cross-section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
-
2014
Persistent link: https://www.econbiz.de/10010442477
Saved in:
3
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
4
Financial market efficiency tests
Bollerslev, Tim
;
Hodrick, Robert J.
-
1992
Persistent link: https://www.econbiz.de/10000136709
Saved in:
5
Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
2
,
pp. 139-160
Persistent link: https://www.econbiz.de/10001203173
Saved in:
6
A capital asset pricing model with time-varying covariances
Bollerslev, Tim
- In:
Journal of political economy
96
(
1988
)
1
,
pp. 116-131
Persistent link: https://www.econbiz.de/10001056221
Saved in:
7
Realized return volatility, asset pricing, and risk management
Andersen, Torben
;
Bollerslev, Tim
- In:
NBER reporter online
(
2006/2007
)
3
,
pp. 7-10
Persistent link: https://www.econbiz.de/10011366975
Saved in:
8
Analytical evaluation of volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
International economic review
45
(
2004
)
4
,
pp. 1079-1110
Persistent link: https://www.econbiz.de/10002427616
Saved in:
9
Measuring and modeling systematic risk in factor pricing models using high-frequency data
Bollerslev, Tim
;
Zhang, Benjamin Y. B.
- In:
Journal of empirical finance
10
(
2003
)
5
,
pp. 533-558
Persistent link: https://www.econbiz.de/10001806961
Saved in:
10
Realized beta : persistence and predictability
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2004
Persistent link: https://www.econbiz.de/10003350014
Saved in:
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