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subject:"Time series analysis"
subject:"United States"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~subject:"CAPM"
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Time series analysis
United States
CAPM
Estimation
46
Schätzung
46
Volatility
29
Volatilität
29
Capital income
22
Kapitaleinkommen
22
Zeitreihenanalyse
22
Theorie
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realized volatility
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Aktienmarkt
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Factor analysis
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high-frequency data
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value-at-risk
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26
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Andreou, Elena
1
Barunik, Jozef
1
Bu, Ruijun
1
Calzolari, Giorgio
1
Casas, Isabel
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Erdemlioglu, Deniz
1
Ferreira, Eva
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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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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Hung, Mao-Wei
1
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1
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1
Jach, Agnieszka
1
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Journal of financial econometrics
Working paper / National Bureau of Economic Research, Inc.
463
Discussion paper / Centre for Economic Policy Research
375
Economic modelling
112
Applied economics
108
Journal of econometrics
97
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
86
Finance research letters
83
The North American journal of economics and finance : a journal of financial economics studies
77
Energy economics
75
Economics letters
72
International review of economics & finance : IREF
69
Applied economics letters
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Journal of financial economics
59
American economic journal : a journal of the American Economic Association
54
Journal of empirical finance
53
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
International journal of forecasting
52
International review of financial analysis
52
Journal of banking & finance
51
Discussion papers / CEPR
42
Journal of economic dynamics & control
42
Research in international business and finance
36
The review of financial studies
34
SpringerLink / Bücher
32
Journal of international financial markets, institutions & money
30
Journal of international money and finance
30
Pacific-Basin finance journal
30
The American economic review
30
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
30
Academy of Management journal : AMJ
28
Journal of applied econometrics
28
Econometric reviews
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
24
Journal of macroeconomics
24
Management science : journal of the Institute for Operations Research and the Management Sciences
23
Quantitative finance
23
Computational economics
22
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
26
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
5
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
6
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
7
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
8
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
9
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Saved in:
10
Forecasting under long memory
Hassler, Uwe
;
Pohle, Marc-Oliver
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
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