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Tails, fears and risk premia
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Germany
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
CAPM
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
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Free
14
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Book / Working Paper
15
Article
7
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Arbeitspapier
8
Working Paper
8
Graue Literatur
7
Non-commercial literature
7
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6
Aufsatz in Zeitschrift
6
Aufsatz im Buch
1
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1
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Language
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English
22
Author
All
Bollerslev, Tim
22
Diebold, Francis X.
12
Andersen, Torben
10
Vega, Clara
7
Zhou, Hao
6
Labys, Paul
5
Andersen, Torben G.
4
Xu, Lai
4
Marrone, James
2
Marrone, James V
2
Meddahi, Nour
2
Anderson, Torben G.
1
Baillie, Richard
1
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National Bureau of Economic Research
3
Rodney L. White Center for Financial Research
2
Université de Montréal / Département de sciences économiques
1
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NBER working paper series
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Finance and economics discussion series
2
NBER Working Paper
2
Working papers / Rodney L. White Center for Financial Research
2
CFS working paper series
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Foreign exchange markets
1
International finance discussion papers
1
Journal of econometrics
1
Journal of financial and quantitative analysis : JFQA
1
Journal of international economics
1
The journal of finance : the journal of the American Finance Association
1
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
22
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1
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22
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1
Cointegration, fractional cointegration, and exchange rate dynamics
Baillie, Richard
- In:
The journal of finance : the journal of the American …
49
(
1994
)
2
,
pp. 737-745
Persistent link: https://www.econbiz.de/10001169038
Saved in:
2
Modeling and forecasting realized volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
Saved in:
3
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
-
2001
Persistent link: https://www.econbiz.de/10001637889
Saved in:
4
Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947554
Saved in:
5
Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002815851
Saved in:
6
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
7
Modeling and forecasting realized volatility
Anderson, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002020013
Saved in:
8
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
-
2011
Persistent link: https://www.econbiz.de/10009406434
Saved in:
9
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Saved in:
10
Deutsche Mark-dollar volatility : intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben
;
Bollerslev, Tim
- In:
Foreign exchange markets
,
(pp. 133-179)
.
2005
Persistent link: https://www.econbiz.de/10003290893
Saved in:
1
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