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person:"Pástor, Ľuboš"
subject:"Kapitaleinkommen"
~person:"Bollerslev, Tim"
~subject:"Finanzmathematik"
~type_genre:"Aufsatz in Zeitschrift"
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Kapitaleinkommen
Finanzmathematik
Estimation
36
Schätzung
36
Volatility
22
Volatilität
22
Capital income
21
Theorie
17
Theory
17
USA
15
United States
15
Börsenkurs
12
Share price
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Risikoprämie
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Time series analysis
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Estimation theory
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Deutsche Mark
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Jumps
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Portfolio selection
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Pástor, Ľuboš
Bollerslev, Tim
Zaremba, Adam
58
Gupta, Rangan
57
McMillan, David G.
31
Wohar, Mark E.
27
Narayan, Paresh Kumar
20
Pierdzioch, Christian
19
Cakici, Nusret
18
Tiwari, Aviral Kumar
18
Todorov, Viktor
18
Ma, Feng
17
Wang, Yudong
17
Bali, Turan G.
16
Gil-Alaña, Luis A.
15
Kumar, Dilip
15
Sehgal, Sanjay
15
Chiang, Thomas C.
14
Long, Huaigang
14
Zhang, Yaojie
14
Balcilar, Mehmet
13
Bouri, Elie
13
Umutlu, Mehmet
12
Brooks, Robert
11
Caporale, Guglielmo Maria
11
Demirer, Rıza
11
Jareño, Francisco
11
Tauchen, George Eugene
11
Xuan Vinh Vo
11
Apergēs, Nikolaos
10
Bohl, Martin T.
10
Lee, Chien-chiang
10
Li, Bin
10
Yin, Libo
10
Zhou, Guofu
10
Andersen, Torben
9
Chiah, Mardy
9
Kim, Jae H.
9
McAleer, Michael
9
Nitschka, Thomas
9
Nonejad, Nima
9
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Journal of financial economics
6
Journal of econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
The review of financial studies
2
International economic review
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
21
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1
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
2
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
3
Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
6
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
7
Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
- In:
Journal of financial economics
120
(
2016
)
3
,
pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
Saved in:
8
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
Saved in:
9
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
10
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
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