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isPartOf:"Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series"
subject:"Capital income"
~isPartOf:"Journal of econometrics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~person:"Tang, Yi"
~person:"Wese Simen, Chardin"
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Capital income
Estimation
4
Kapitaleinkommen
4
Schätzung
4
Beta risk
2
Betafaktor
2
Börsenkurs
2
CAPM
2
Share price
2
Volatility
2
Volatilität
2
Analysis of variance
1
Ankündigungseffekt
1
Announcement effect
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Correlation
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Correlation swaps
1
Efficient market hypothesis
1
Effizienzmarkthypothese
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Forecasting model
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Korrelation
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Portfolio selection
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Portfolio-Management
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Prognoseverfahren
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Return predictability
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Return variation
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Risikoprämie
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Risk premium
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Swap
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Theorie
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Theory
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Variance swaps
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Varianzanalyse
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and expected stock returns
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beta estimation
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buying intensity
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conditional CAPM
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conditional capital asset pricing model
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dynamic conditional beta
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high-frequency data
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Tang, Yi
Wese Simen, Chardin
Bohl, Martin T.
9
Todorov, Viktor
8
Bollerslev, Tim
5
Zhou, Guofu
4
Andersen, Torben
3
Ge̜bka, Bartosz
3
Henke, Harald
3
Tauchen, George Eugene
3
Xiu, Dacheng
3
Yang, Liyan
3
Aït-Sahalia, Yacine
2
Bali, Turan G.
2
Cen, Ling
2
Da, Zhi
2
Hasler, Michael
2
Hollstein, Fabian
2
Li, Jia
2
Li, Yingying
2
Massa, Massimo
2
Meddahi, Nour
2
Neely, Christopher J.
2
Paolella, Marc S.
2
Patton, Andrew J.
2
Pelger, Markus
2
Polak, Pawel
2
Tamoni, Andrea
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Tu, Jun
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Wei, K. C. John
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Agarwal, Ashish
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Agarwal, Sumit
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Ahmed, Anwer S.
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Andrei, Daniel
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Andreou, Elena
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Asai, Manabu
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Bae, Joon Woo
1
Bakalli, Gaetan
1
Bakshi, Gurdip S.
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
Journal of econometrics
Management science : journal of the Institute for Operations Research and the Management Sciences
Georgetown McDonough School of Business Research Paper
3
Journal of banking & finance
2
China finance review international
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
1
Financial management
1
Fordham University Schools of Business Research Paper
1
Georgetown McDonough School of Business Research Paper 2012-16
1
Journal of commodity markets
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial economics
1
Journal of international money and finance
1
Koç University - TÜSİAD Economic Research Forum working paper series
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Open economies review
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The quarterly journal of finance
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ECONIS (ZBW)
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1
The conditional capital asset pricing model revisited : evidence from high-frequency betas
Hollstein, Fabian
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Management science : journal of the Institute for …
66
(
2020
)
6
,
pp. 2474-2494
Persistent link: https://www.econbiz.de/10012254406
Saved in:
2
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
3
Unusual news flow and the cross section of stock returns
Bali, Turan G.
;
Bodnaruk, Andrij
;
Scherbina, Anna
;
Tang, Yi
- In:
Management science : journal of the Institute for …
64
(
2018
)
9
,
pp. 4137-4155
Persistent link: https://www.econbiz.de/10011921496
Saved in:
4
Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.
;
Engle, Robert F.
;
Tang, Yi
- In:
Management science : journal of the Institute for …
63
(
2017
)
11
,
pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
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