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subject:"USA"
person:"Bollerslev, Tim"
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USA
Estimation
68
Schätzung
68
Volatility
44
Volatilität
44
Capital income
37
Kapitaleinkommen
37
Theorie
28
Theory
28
Börsenkurs
25
Share price
25
United States
25
Forecasting model
22
Prognoseverfahren
22
Risikoprämie
22
Risk premium
22
Time series analysis
16
Zeitreihenanalyse
16
Deutschland
13
Germany
13
Statistical distribution
11
Statistische Verteilung
11
Japan
10
ARCH model
9
ARCH-Modell
9
Beta risk
9
Betafaktor
9
High-frequency data
9
Exchange rate
8
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Wechselkurs
8
Deutsche Mark
7
Impact assessment
7
Option pricing theory
7
Optionspreistheorie
7
Portfolio selection
7
Portfolio-Management
7
Stochastic process
7
Stochastischer Prozess
7
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Graue Literatur
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English
25
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Bollerslev, Tim
Caporale, Guglielmo Maria
97
Gupta, Rangan
88
Gil-Alaña, Luis A.
77
Heckman, James J.
65
Hamermesh, Daniel S.
42
Pesaran, M. Hashem
34
Belke, Ansgar
33
Bahmani-Oskooee, Mohsen
32
McAleer, Michael
31
Miller, Stephen M.
31
Basu, Susanto
30
Koopman, Siem Jan
30
Glaeser, Edward L.
29
Karanassou, Marika
29
Neumark, David
29
Kilian, Lutz
28
Malley, James R.
28
Wohar, Mark E.
28
Marcellino, Massimiliano
27
Walker, Reed
27
Balcilar, Mehmet
26
Bloom, Nicholas
26
Chinn, Menzie David
26
Engle, Robert F.
26
Haltiwanger, John C.
26
Shapiro, Joseph S.
26
Stulz, René M.
26
Timmermann, Allan
26
Autor, David H.
25
Christiano, Lawrence J.
25
Galí, Jordi
25
Mazumder, Bhashkar
25
Schorfheide, Frank
25
Blundell, Richard W.
24
Cheung, Yin-Wong
24
Eickmeier, Sandra
24
Gil-Alana, Luis A.
24
Hautsch, Nikolaus
24
Ludvigson, Sydney C.
24
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Institution
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Rodney L. White Center for Financial Research
1
Université de Montréal / Département de sciences économiques
1
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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
3
Finance and economics discussion series
3
CREATES research paper
2
The journal of finance : the journal of the American Finance Association
2
Working paper / National Bureau of Economic Research, Inc.
2
Working papers / Financial Institutions Center
2
American Economic Review papers and proceedings
1
CFS working paper series
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
ERID working paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of financial and quantitative analysis : JFQA
1
The American economic review
1
The review of financial studies
1
The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
1
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ECONIS (ZBW)
25
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1
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
-
2011
Persistent link: https://www.econbiz.de/10009406434
Saved in:
2
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559410
Saved in:
3
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
4
Tails, fears and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003849565
Saved in:
5
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of financial and quantitative analysis : JFQA
49
(
2014
)
3
,
pp. 633-661
Persistent link: https://www.econbiz.de/10010487089
Saved in:
6
Expected stock returns and variance risk premia
Bollerslev, Tim
;
Zhou, Hao
-
2007
Persistent link: https://www.econbiz.de/10003826928
Saved in:
7
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10003350610
Saved in:
8
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002569521
Saved in:
9
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002634153
Saved in:
10
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Saved in:
11
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
12
Correcting the errors : a note on volatility forecast evaluation based on high-frequency data and realized volatilities
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947554
Saved in:
13
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
-
2001
Persistent link: https://www.econbiz.de/10001637889
Saved in:
14
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:
15
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
- In:
The risks of financial institutions : [...papers and …
,
(pp. 513-548)
.
2006
Persistent link: https://www.econbiz.de/10003445632
Saved in:
16
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
The American economic review
95
(
2005
)
2
,
pp. 398-404
Persistent link: https://www.econbiz.de/10003214098
Saved in:
17
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
18
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002636035
Saved in:
19
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002636085
Saved in:
20
Modeling and forecasting realized volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
Saved in:
21
Modeling and forecasting realized volatility
Anderson, Torben G.
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002020013
Saved in:
22
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Saved in:
23
Order flow and the bid-ask spread : an empirical probability model of screen-based trading
Bollerslev, Tim
- In:
Journal of economic dynamics & control
21
(
1997
)
8
,
pp. 1471-1491
Persistent link: https://www.econbiz.de/10001222036
Saved in:
24
Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
2
,
pp. 139-160
Persistent link: https://www.econbiz.de/10001203173
Saved in:
25
Cointegration, fractional cointegration, and exchange rate dynamics
Baillie, Richard
- In:
The journal of finance : the journal of the American …
49
(
1994
)
2
,
pp. 737-745
Persistent link: https://www.econbiz.de/10001169038
Saved in:
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