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A discrete-time model for dail...
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Bollerslev, Tim
526
Andersen, Torben G.
165
Tauchen, George
164
Diebold, Francis X.
151
Todorov, Viktor
95
Tauchen, George Eugene
80
Andersen, Torben
66
Zhou, Hao
57
Gallant, A. Ronald
56
Pigorsch, Christian
35
Vega, Clara
35
Christoffersen, Peter F.
34
Labys, Paul
32
Bollerslev, T.
24
Patton, Andrew J.
23
Li, Jia
21
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19
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Sizova, Natalia
16
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Wu, Jin
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13
Xu, Lai
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12
Meddahi, Nour
12
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11
Grynkiv, Iaryna
11
Tauchen, George E.
11
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10
Huang, Xin
10
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9
Wright, Jonathan H.
9
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8
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8
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Journal of econometrics
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Journal of Econometrics
33
Working Papers / Duke University, Department of Economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
CREATES Research Papers
23
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19
NBER Working Paper
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Journal of Business & Economic Statistics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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15
Working paper / National Bureau of Economic Research, Inc.
15
CFS Working Paper Series
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Economic Research Initiatives at Duke (ERID) Working Paper
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The journal of finance : the journal of the American Finance Association
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The review of economics and statistics
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Finance and economics discussion series
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8
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Journal of international money and finance
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Economics letters
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Journal of applied econometrics
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Michigan State - Econometrics and Economic Theory
5
The American economic review
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ECONIS (ZBW)
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RePEc
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OLC EcoSci
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EconStor
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1
A discrete-time model for daily S&P500 returns and realized variations : jumps and leverage effects
Bollerslev, Tim
;
Kretschmer, Uta
;
Pigorsch, Christian
; …
-
2005
Persistent link: https://www.econbiz.de/10010218862
Saved in:
2
Leverage and volatility feedback effects in high-frequency data
Bollerslev, Tim
;
Litvinova, Julia
;
Tauchen, George Eugene
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 353-384
Persistent link: https://www.econbiz.de/10003354051
Saved in:
3
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10003849492
Saved in:
4
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:
5
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10009559443
Saved in:
6
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
Saved in:
7
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
- In:
Review of finance : journal of the European Finance …
16
(
2012
)
1
,
pp. 31-80
Persistent link: https://www.econbiz.de/10009520608
Saved in:
8
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10009560379
Saved in:
9
Risk, jumps and diversification
Bollerslev, Tim
;
Law, Tzuo Hann
;
Tauchen, George Eugene
- In:
Journal of econometrics
144
(
2008
)
1
,
pp. 234-256
Persistent link: https://www.econbiz.de/10003723656
Saved in:
10
Expected stock returns and variance risk premia
Bollerslev, Tim
;
Tauchen, George Eugene
;
Zhou, Hao
-
2008
Persistent link: https://www.econbiz.de/10010218854
Saved in:
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