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Tails, fears and risk premia
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Capital income
Volatilität
203
Volatility
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Theorie
131
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130
Schätzung
101
Estimation
100
Kapitaleinkommen
97
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high-frequency data
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jumps
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Bollerslev, Tim
81
Todorov, Viktor
31
Andersen, Torben
25
Diebold, Francis X.
19
Andersen, Torben G.
15
Tauchen, George Eugene
15
Zhou, Hao
10
Xu, Lai
9
Labys, Paul
8
Sizova, Natalia
7
Li, Jia
6
Li, Sophia Zhengzi
5
Patton, Andrew J.
5
Dobrev, Dobrislav
4
Quaedvlieg, Rogier
4
Ebens, Heiko
3
Fusari, Nicola
3
Tauchen, George
3
Anderson, Torben G.
2
Frederiksen, Per
2
Kretschmer, Uta
2
Li, Yingying
2
Marrone, James
2
Marrone, James V
2
Nielsen, Morten Ørregaard
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Pigorsch, Christian
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Wright, Jonathan H.
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Zhou, Bo
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Chen, Rui
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Chong, Carsten H.
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Law, Tzuo Hann
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ECONIS (ZBW)
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1
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:
2
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
3
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10008659419
Saved in:
4
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559404
Saved in:
5
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
6
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
7
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
8
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
Saved in:
9
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:
10
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
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