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Tails, fears and risk premia
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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
Prognoseverfahren
64
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64
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63
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61
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48
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48
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46
Risk premium
46
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44
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44
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35
high-frequency data
35
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34
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30
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30
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29
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28
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28
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28
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28
High-frequency data
24
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24
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jumps
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English
390
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295
French
1
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Bollerslev, Tim
524
Andersen, Torben G.
182
Todorov, Viktor
166
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
21
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
CentER for Economic Research, Universiteit van Tilburg
1
Economics Department, Massachusetts Institute of Technology (MIT)
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
63
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)
367
RePEc
202
OLC EcoSci
89
EconStor
13
BASE
12
Other ZBW resources
4
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71
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71
Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro) : the GARCH-NIG model
Forsberg, Lars
;
Bollerslev, Tim
- In:
Journal of applied econometrics
17
(
2002
)
5
,
pp. 535-548
Persistent link: https://www.econbiz.de/10001709314
Saved in:
72
Micro effects of macro announcements : real-time price discovery in foreign exchange
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2002
Persistent link: https://www.econbiz.de/10001671281
Saved in:
73
High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
The review of economics and statistics
83
(
2001
)
4
,
pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
Saved in:
74
Micro effects of macro announcements : real-time price discovery in foreign exchange?
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685955
Saved in:
75
Parametric and nonparametric volatility measurement
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685965
Saved in:
76
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
-
2001
Persistent link: https://www.econbiz.de/10001637889
Saved in:
77
The message in daily exchange rates : a conditional-variance tale
Baillie, Richard
;
Bollerslev, Tim
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
1
,
pp. 60-68
Persistent link: https://www.econbiz.de/10001639879
Saved in:
78
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:
79
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:
80
High frequency data, frequency domain inference and volatility forecasting
Wright, Jonathan H.
;
Bollerslev, Tim
-
1999
Persistent link: https://www.econbiz.de/10001433207
Saved in:
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