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type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Risk premium"
~subject:"Zeitreihenanalyse"
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Risk premium
Zeitreihenanalyse
Theorie
154
Theory
154
Volatility
45
Volatilität
45
Estimation
39
Schätzung
39
ARCH model
28
ARCH-Modell
28
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36
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Article in journal
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36
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English
36
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Almeida, Caio
4
Ardison, Kym
4
Garcia, René
4
Vicente, Jose
4
Gouriéroux, Christian
2
Abbritti, Mirko
1
Audrino, Francesco
1
Bali, Turan G.
1
Busetti, Fabio
1
Calvori, Francesco
1
Camponovo, Lorenzo
1
Chiu, Ching Wai Jeremy
1
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1
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1
Dahlhaus, Rainer
1
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1
Eckernkemper, Tobias
1
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1
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1
Ferreira, Eva
1
Foerster, Andrew
1
Gagliardini, Patrick
1
Ghysels, Eric
1
Gil-Alaña, Luis A.
1
Gil-Bazo, Javier
1
Gospodinov, Nikolaj
1
Halbleib, Roxana
1
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1
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1
Harvey, David I.
1
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1
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1
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1
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1
Jacobs, Kris
1
Jacquier, Eric
1
Jasiak, Joann
1
Joyeux, Roselyne
1
Kim, Tae Bong
1
Kim, Yunmi
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
332
International journal of forecasting
321
Economics letters
308
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
243
Journal of forecasting
226
Econometric theory
191
Econometric reviews
128
Economic modelling
128
Applied economics
119
Journal of economic dynamics & control
104
Journal of banking & finance
101
Journal of financial economics
101
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
100
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
99
Journal of applied econometrics
92
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
87
Applied economics letters
86
Finance research letters
83
Journal of empirical finance
81
Computational economics
76
Journal of international money and finance
73
The review of financial studies
71
Energy economics
64
International review of economics & finance : IREF
59
Journal of monetary economics
59
Macroeconomic dynamics
56
Management science : journal of the Institute for Operations Research and the Management Sciences
56
The journal of finance : the journal of the American Finance Association
56
Oxford bulletin of economics and statistics
55
Applied financial economics
50
Journal of macroeconomics
50
European journal of operational research : EJOR
49
International review of financial analysis
49
The econometrics journal
47
The review of economics and statistics
44
Econometrics : open access journal
42
The North American journal of economics and finance : a journal of financial economics studies
42
Insurance / Mathematics & economics
39
Risks : open access journal
38
Journal of risk and financial management : JRFM
37
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ECONIS (ZBW)
36
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1
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
2
Identification-robust inference on risk premia of mimicking portfolios of non-traded factors
Kleibergen, Frank
;
Zhang, Zhaoguo
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 155-190
Persistent link: https://www.econbiz.de/10011987757
Saved in:
3
Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
Saved in:
4
Fractionally integrated COGARCH processes
Haug, Stephan
;
Klüppelberg, Claudia
;
Straub, German
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 599-628
Persistent link: https://www.econbiz.de/10011988000
Saved in:
5
Testing for parameter instability across different modeling frameworks
Calvori, Francesco
;
Creal, Drew
;
Koopman, Siem Jan
; …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 223-246
Persistent link: https://www.econbiz.de/10011987424
Saved in:
6
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Camponovo, Lorenzo
;
Scaillet, Olivier
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 377-387
Persistent link: https://www.econbiz.de/10011987504
Saved in:
7
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Saved in:
8
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Bali, Turan G.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 413-417
Persistent link: https://www.econbiz.de/10011987520
Saved in:
9
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Jacobs, Kris
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 410-412
Persistent link: https://www.econbiz.de/10011987533
Saved in:
10
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
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