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ECONIS (ZBW)
940
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1
Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias
;
Freeman, Mark
;
Vivian, Andrew
- In:
The European journal of finance
29
(
2023
)
15
,
pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
Saved in:
2
The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations
Figueiredo, Antonio
;
Parhizgari, Ali M.
;
Dupoyet, Brice
- In:
The European journal of finance
29
(
2023
)
18
,
pp. 2128-2153
Persistent link: https://www.econbiz.de/10014418133
Saved in:
3
Analysing emerging market returns with high-frequency data during the global financial crisis of 2007-2009
Yalaman, Abdullah
;
Manahov, Viktor
- In:
The European journal of finance
28
(
2022
)
10
,
pp. 1019-1051
Persistent link: https://www.econbiz.de/10013373360
Saved in:
4
Volatility patterns of short-term interest rate futures
Gurrola-Perez, Pedro
;
Herrerias, Renata
- In:
The European journal of finance
27
(
2021
)
16
,
pp. 1604-1625
Persistent link: https://www.econbiz.de/10012872906
Saved in:
5
Rise of the machines? : intraday high-frequency trading patterns of cryptocurrencies
Petukhina, Alla A.
;
Reule, Raphael C. G.
;
Härdle, Wolfgang
- In:
The European journal of finance
27
(
2021
)
1/2
,
pp. 8-30
Persistent link: https://www.econbiz.de/10012424926
Saved in:
6
What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?
Jalan, Akanksha
;
Matkovskyy, Roman
;
Urquhart, Andrew
- In:
The European journal of finance
27
(
2021
)
13
,
pp. 1251-1281
Persistent link: https://www.econbiz.de/10012653090
Saved in:
7
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
8
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
9
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
10
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
11
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
12
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
13
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
14
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
15
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
16
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
17
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
18
Forecasting international REITs volatility : the role of oil-price uncertainty
Wang, Jiqian
;
Gupta, Rangan
;
Çepni, Oğuzhan
;
Ma, Feng
- In:
The European journal of finance
29
(
2023
)
14
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10014387948
Saved in:
19
Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher
;
McMillan, David G.
;
Kambouroudis, Dimos
- In:
The European journal of finance
29
(
2023
)
14
,
pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954
Saved in:
20
The pricing of unexpected volatility in the currency market
Lu, Wenna
;
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
Saved in:
21
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
22
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
23
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
24
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
25
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
26
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
27
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
28
Modeling market fluctuations under investor sentiment with a Hawkes-Contact process
Zhang, Junhuan
;
Wen, Jiaqi
;
Chen, Jing
- In:
The European journal of finance
29
(
2023
)
1
,
pp. 17-32
Persistent link: https://www.econbiz.de/10014322445
Saved in:
29
Momentum and market volatility : a Bayesian regime-switching model
Cao, Jia
;
Copeland, Laurence S.
- In:
The European journal of finance
29
(
2023
)
5
,
pp. 483-507
Persistent link: https://www.econbiz.de/10014322539
Saved in:
30
Capital flow waves - or ripples? : extreme capital flow movements since the crisis
Forbes, Kristin
;
Warnock, Francis E.
-
2020
Persistent link: https://www.econbiz.de/10012216294
Saved in:
31
Expectations of fundamentals and stock market puzzles
Bordalo, Pedro
;
Gennaioli, Nicola
;
La Porta, Rafael
; …
-
2020
Persistent link: https://www.econbiz.de/10012240160
Saved in:
32
The pass-through of uncertainty shocks to households
Di Maggio, Marco
;
Kermani, Amir
;
Ramcharan, Rodney
; …
-
2020
Persistent link: https://www.econbiz.de/10012270676
Saved in:
33
Liquidity and volatility
Drechsler, Itamar
;
Moreira, Alan
;
Savov, Alexi
-
2020
Persistent link: https://www.econbiz.de/10012316253
Saved in:
34
Volatility expectations and returns
Lochstoer, Lars A.
;
Muir, Tyler
-
2020
Persistent link: https://www.econbiz.de/10012405468
Saved in:
35
Will the secular decline in exchange rate and inflation volatility survive COVID-19?
Ilzetzki, Ethan
;
Reinhart, Carmen M.
;
Rogoff, Kenneth S.
-
2020
Persistent link: https://www.econbiz.de/10012415017
Saved in:
36
The collateral link between volatility and risk sharing
Infante, Sebastian
;
Ordoñez, Guillermo
-
2020
Persistent link: https://www.econbiz.de/10012415046
Saved in:
37
Reconciling trends in U.S. male earnings volatility : results from a four data set project
Moffitt, Robert A.
-
2020
Persistent link: https://www.econbiz.de/10012289667
Saved in:
38
Reconciling trends in volatility : evidence from the SIPP survey and administrative data
Carr, Michael D.
;
Moffitt, Robert A.
;
Wiemers, Emily E.
-
2020
Persistent link: https://www.econbiz.de/10012289804
Saved in:
39
Estimating trends in male earnings volatility with the panel study of income dynamics
Moffitt, Robert A.
;
Zhang, Sisi
-
2020
Persistent link: https://www.econbiz.de/10012289816
Saved in:
40
Is there a risk and return relation?
Fifield, S. G. M.
;
McMillan, David G.
;
McMillan, Fiona J.
- In:
The European journal of finance
26
(
2020
)
11
,
pp. 1075-1101
Persistent link: https://www.econbiz.de/10012264949
Saved in:
41
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
42
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
Saved in:
43
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
44
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
45
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
46
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
47
Words speak as loudly as actions : central bank communication and the response of equity prices to macroeconomic announcements
Gardner, Ben
;
Scotti, Chiara
;
Vega, Clara
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 387-409
Persistent link: https://www.econbiz.de/10013464819
Saved in:
48
Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi
;
Schwartz, Ivonne
;
Westerhoff, Frank H.
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1263-1282
Persistent link: https://www.econbiz.de/10013532181
Saved in:
49
Ripples on financial networks
Kumar, Sudarshan
;
Bansal, Avijit
;
Chakrabarti, Anindya S.
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1302-1323
Persistent link: https://www.econbiz.de/10013532199
Saved in:
50
Multivariate GARCH with dynamic beta
Raddant, Matthias
;
Wagner, Friedrich
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1324-1343
Persistent link: https://www.econbiz.de/10013532205
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