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Tails, fears and risk premia
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Volatilität
203
Volatility
202
Theorie
131
Theory
130
Schätzung
101
Estimation
100
Capital income
97
Kapitaleinkommen
97
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71
Share price
71
Time series analysis
66
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66
Prognoseverfahren
64
USA
64
Forecasting model
63
United States
61
Estimation theory
50
Schätztheorie
50
Risikoprämie
46
Risk premium
46
Stochastic process
44
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44
high-frequency data
36
ARCH-Modell
35
ARCH model
34
CAPM
31
Ankündigungseffekt
30
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30
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30
Announcement effect
29
Exchange rate
28
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28
High-frequency data
25
Risk
25
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23
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23
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23
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jumps
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Free
296
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150
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4
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English
394
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295
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1
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Bollerslev, Tim
526
Andersen, Torben G.
182
Todorov, Viktor
168
Diebold, Francis X.
151
Andersen, Torben
92
Tauchen, George
63
Zhou, Hao
44
Tauchen, George Eugene
36
Vega, Clara
35
Christoffersen, Peter F.
34
Labys, Paul
32
Fusari, Nicola
26
Bollerslev, T.
24
Patton, Andrew J.
23
Li, Jia
22
Sizova, Natalia
16
Quaedvlieg, Rogier
15
Diebold, Francis
14
Wu, Jin
14
Xu, Lai
13
Baillie, Richard T.
12
Engle, Robert F.
12
Meddahi, Nour
12
Baillie, Richard
11
Grynkiv, Iaryna
11
Anderson, Torben G.
10
Kretschmer, Uta
10
Li, Sophia Zhengzi
10
Pigorsch, Christian
10
Wright, Jonathan H.
9
Dobrev, Dobrislav
8
Domowitz, Ian
8
Ebens, Heiko
8
Nielsen, Morten Ørregaard
8
Thyrsgaard, Martin
8
Das, Ashish
7
Baillie, R.T.
6
Baillie, Richard T
6
Christoffersen, Peter
6
Ghysels, Eric
6
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School of Economics and Management, University of Aarhus
26
National Bureau of Economic Research
21
National Bureau of Economic Research (NBER)
19
Duke University, Department of Economics
15
Center for Financial Studies
12
Department of Economics, University of Pennsylvania
7
Federal Reserve Board (Board of Governors of the Federal Reserve System)
7
Financial Institutions Center, Wharton School of Business
6
Economics Department, Michigan State University
5
Rodney L. White Center for Financial Research
4
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
3
Finance Department, Stern School of Business
3
The Wharton Financial Institutions Center
3
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
2
Département de Sciences Économiques, Université de Montréal
2
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1
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1
Economics Department, Queen's University
1
Economics and Econometrics Research Institute (EERI)
1
Institute of Economic Research, Hitotsubashi University
1
International Symposium on Financial Engineering and Risk Management <2018, Schanghai>
1
Oxford University Press
1
Tilburg University, Center for Economic Research
1
University of Chicago / Graduate School of Business / Department of Economics
1
Université de Montréal / Département de sciences économiques
1
Weiss Center for International Financial Research, Wharton School of Business
1
arXiv.org
1
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Journal of econometrics
65
CREATES Research Papers
26
Journal of Econometrics
25
CREATES research paper
21
NBER Working Paper
21
NBER working paper series
20
NBER Working Papers
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Working paper / National Bureau of Economic Research, Inc.
17
ERID working paper
16
Working Papers / Duke University, Department of Economics
15
Working paper / National Bureau of Economic Research, Inc
15
The journal of finance : the journal of the American Finance Association
14
CFS Working Paper Series
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Economic Research Initiatives at Duke (ERID) Working Paper
11
Journal of Business & Economic Statistics
9
Econometric theory
8
Journal of financial economics
8
CFS working paper series
7
CREATES Research Paper
7
PIER Working Paper Archive
7
The review of economics and statistics
7
Working papers / Financial Institutions Center
7
CFS Working Paper
6
Center for Financial Institutions Working Papers
6
Finance and economics discussion series
6
Journal of Finance
6
Journal of applied econometrics
6
Journal of empirical finance
6
Journal of international money and finance
6
Quantitative Economics
6
The review of financial studies
6
Econometrica
5
Finance and Economics Discussion Series
5
Michigan State - Econometrics and Economic Theory
5
Cahiers de recherche
4
International economic review
4
Journal of International Money and Finance
4
Journal of international economics
4
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Source
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ECONIS (ZBW)
370
RePEc
202
OLC EcoSci
89
EconStor
13
BASE
12
Other ZBW resources
5
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111
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:
112
Forecasting financial market volatility : sample frequency vis-à-vis forecast horizon
Andersen, Torben
;
Bollerslev, Tim
;
Lange, Steve
- In:
Journal of empirical finance
6
(
1999
)
5
,
pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
Saved in:
113
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market
Bollerslev, Tim
;
Cai, Jun
;
Song, Frank M.
- In:
Journal of empirical finance
7
(
2000
)
1
,
pp. 37-55
Persistent link: https://www.econbiz.de/10001511696
Saved in:
114
Variance-ratio statistics and high-frequency data : testing for changes in intraday volatility patterns
Andersen, Torben
;
Bollerslev, Tim
;
Das, Ashish
- In:
The journal of finance : the journal of the American …
56
(
2001
)
1
,
pp. 305-327
Persistent link: https://www.econbiz.de/10001575072
Saved in:
115
The forward premium anomaly is not as bad as you think
Baillie, Richard
;
Bollerslev, Tim
- In:
Journal of international money and finance
19
(
2000
)
4
,
pp. 471-488
Persistent link: https://www.econbiz.de/10001496571
Saved in:
116
Intraday periodicity, long memory volatility, and macro announcements in the US Treasury bond market
Cai, Jun
;
Bollerslev, Tim
;
Song, Frank M.
-
1999
Persistent link: https://www.econbiz.de/10001432959
Saved in:
117
High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.
;
Bollerslev, Tim
-
1999
Persistent link: https://www.econbiz.de/10001433207
Saved in:
118
Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001440693
Saved in:
119
The distribution of stock return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001476423
Saved in:
120
Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001477784
Saved in:
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