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isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Capital income"
~subject:"Share price"
~subject:"Zeitreihenanalyse"
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Capital income
Share price
Zeitreihenanalyse
Volatilität
788
Volatility
787
Theorie
286
Theory
286
USA
198
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198
Estimation
183
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183
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Bollerslev, Tim
17
Andersen, Torben
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Aït-Sahalia, Yacine
11
Tauchen, George Eugene
11
Todorov, Viktor
11
Bekaert, Geert
9
Diebold, Francis X.
8
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8
Bansal, Ravi
6
Li, Jia
6
Li, Yingying
6
Mykland, Per A.
6
Ang, Andrew
5
Campbell, John Y.
5
Kim, Donggyu
5
McAleer, Michael
5
Patton, Andrew J.
5
Fan, Jianqing
4
Hallin, Marc
4
Lettau, Martin
4
Meddahi, Nour
4
Stulz, René M.
4
Xiu, Dacheng
4
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3
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Boswijk, Herman Peter
3
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3
Carlin, Bruce Ian
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3
Collin-Dufresne, Pierre
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Engle, Robert F.
3
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3
Francq, Christian
3
Gallant, A. Ronald
3
Ghysels, Eric
3
Goldstein, Robert S.
3
Hale, Galina
3
Harvey, Campbell R.
3
Kong, Xin-Bing
3
Laeven, Roger J. A.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
Finance research letters
278
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218
International review of financial analysis
212
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176
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171
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102
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102
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96
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93
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65
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63
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59
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ECONIS (ZBW)
322
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1
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:
2
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:
3
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:
4
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:
5
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
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6
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:
7
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:
8
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
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9
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:
10
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
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