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Tails, fears and risk premia
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United States
Volatilität
200
Volatility
199
Theorie
130
Theory
129
Schätzung
98
Capital income
97
Estimation
97
Kapitaleinkommen
97
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70
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70
Time series analysis
66
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66
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64
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64
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63
Estimation theory
48
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48
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46
Risk premium
46
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44
Stochastischer Prozess
44
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35
high-frequency data
35
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34
Ankündigungseffekt
30
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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
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22
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22
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English
61
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Bollerslev, Tim
56
Andersen, Torben
28
Diebold, Francis X.
21
Todorov, Viktor
9
Zhou, Hao
9
Christoffersen, Peter F.
7
Vega, Clara
5
Wu, Jin
5
Gibson, Michael S.
3
Tauchen, George Eugene
3
Baillie, Richard
2
Cai, Jun
2
Domowitz, Ian
2
Fusari, Nicola
2
Hood, Benjamin
2
Huss, John
2
Labys, Paul
2
Marrone, James
2
Meddahi, Nour
2
Mikkelsen, Hans Ole Æ.
2
Pedersen, Lasse Heje
2
Song, Frank M.
2
Xu, Lai
2
Anderson, Torben G.
1
Engle, Robert F.
1
Ghysels, Eric
1
Hodrick, Robert J.
1
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1
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1
Li, Jia
1
Ren, Yuexuan
1
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1
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1
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1
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1
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7
Finance and economics discussion series
5
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5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
CFS working paper series
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
3
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3
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3
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2
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2
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2
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1
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1
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1
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1
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Econometric analysis of financial and economic time series ; part B
1
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1
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1
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1
The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
1
Working papers / Penn Institute for Economic Research
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ECONIS (ZBW)
61
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1
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
2
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559410
Saved in:
3
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:
4
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Saved in:
5
Modelling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH model
Bollerslev, Tim
- In:
The review of economics and statistics
72
(
1990
)
3
,
pp. 498-505
Persistent link: https://www.econbiz.de/10001093160
Saved in:
6
Financial market efficiency tests
Bollerslev, Tim
;
Hodrick, Robert J.
-
1992
Persistent link: https://www.econbiz.de/10000136709
Saved in:
7
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10003350610
Saved in:
8
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim
(
ed.
);
Engle, Robert F.
(
honouree
); …
-
2010
-
1. publ.
Persistent link: https://www.econbiz.de/10003861657
Saved in:
9
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10003849492
Saved in:
10
Expected stock returns and variance risk premia
Bollerslev, Tim
;
Tauchen, George Eugene
;
Zhou, Hao
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4463-4492
Persistent link: https://www.econbiz.de/10003896321
Saved in:
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