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subject:"United States"
subject:"Time series analysis"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
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United States
Time series analysis
Estimation
46
Schätzung
46
Volatility
29
Volatilität
29
Capital income
22
Kapitaleinkommen
22
Zeitreihenanalyse
22
Theorie
17
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Portfolio selection
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Portfolio-Management
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Risk premium
6
Analysis of variance
5
CAPM
5
Varianzanalyse
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realized volatility
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Aktienmarkt
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Factor analysis
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Faktorenanalyse
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high-frequency data
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value-at-risk
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Andreou, Elena
1
Bu, Ruijun
1
Calzolari, Giorgio
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Erdemlioglu, Deniz
1
Gagliardini, Patrick
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Gerlach, Richard
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Ghysels, Eric
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Gong, Yuting
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Gorgi, P.
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Grønneberg, Steffen
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Halbleib, Roxana
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Han, Heejoon
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Hansen, Peter Reinhard
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Hartl, Tobias
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Hassler, Uwe
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Hong, Seok Young
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Hung, Mao-Wei
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Ibrushi, Denada
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Inoue, Atsushi
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Jach, Agnieszka
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Janus, Paweł
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Jiang, Binyan
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Jucknewitz, Roland
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Jung, Whayoung
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Kang, Kyu Ho
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Kim, Young Min
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Ko, Yi-Chen
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Koopman, Siem Jan
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Liu, Cheng
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Livieri, Giulia
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Lu, Jin
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Journal of financial econometrics
Working paper / National Bureau of Economic Research, Inc.
461
Discussion paper / Centre for Economic Policy Research
371
Economic modelling
98
Applied economics
92
Journal of econometrics
86
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
85
Energy economics
69
Economics letters
64
Applied economics letters
62
The North American journal of economics and finance : a journal of financial economics studies
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
American economic journal : a journal of the American Economic Association
54
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
51
International journal of forecasting
51
International review of economics & finance : IREF
50
Finance research letters
46
The review of financial studies
33
Journal of economic dynamics & control
32
SpringerLink / Bücher
30
The American economic review
30
Academy of Management journal : AMJ
28
Discussion papers / CEPR
28
Journal of applied econometrics
28
Econometric reviews
26
Journal of banking & finance
24
Research in international business and finance
24
Journal of empirical finance
23
Journal of macroeconomics
23
International review of financial analysis
22
Empirical economics : a quarterly journal of the Institute for Advanced Studies
21
Computational economics
20
The journal of finance : the journal of the American Finance Association
20
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
20
NBER working paper series
18
The review of economics and statistics
18
Journal of forecasting
17
Macroeconomic dynamics
17
The quarterly journal of economics
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Journal of international money and finance
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ECONIS (ZBW)
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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
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:
7
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:
8
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:
9
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
Saved in:
10
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
11
Multivariate fractional components analysis
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
Saved in:
12
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
13
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
14
What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting
;
Bu, Ruijun
;
Chen, Qiang
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
Saved in:
15
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
16
Bayesian inference of multivariate regression models with endogenous Markov regime-switching parameters
Kim, Young Min
;
Kang, Kyu Ho
- In:
Journal of financial econometrics
20
(
2022
)
3
,
pp. 391-436
Persistent link: https://www.econbiz.de/10013349134
Saved in:
17
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
18
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
19
Mixed-frequency macro-finance factor models : theory and applications
Andreou, Elena
;
Gagliardini, Patrick
;
Ghysels, Eric
; …
- In:
Journal of financial econometrics
18
(
2020
)
3
,
pp. 585-628
Persistent link: https://www.econbiz.de/10012316703
Saved in:
20
The VIX, the variance premium, and expected returns
Osterrieder, Daniela
;
Ventosa-Santaulària, Daniel
; …
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 517-558
Persistent link: https://www.econbiz.de/10012149836
Saved in:
21
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
22
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
23
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
Saved in:
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