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isPartOf:"Journal of econometrics"
~subject:"CAPM"
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Search: subject_exact:"Volatility"
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CAPM
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Estimation theory
116
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
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102
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100
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Aït-Sahalia, Yacine
4
Todorov, Viktor
3
Bollerslev, Tim
2
Mancini, Loriano
2
Mykland, Per A.
2
Tauchen, George Eugene
2
Andersen, Torben
1
Andreou, Elena
1
Augustyniak, Maciej
1
Badescu, Alexandru
1
Bandi, Federico M.
1
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1
Chan, Thomas W. C.
1
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1
Dalderop, Jeroen
1
Eraker, Bjørn
1
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1
Forbes, Catherine Scipione
1
Fulop, Andras
1
Ghysels, Eric
1
Han, Hyojin
1
Jacquier, Eric
1
Johannes, Michael
1
Kalnina, Ilze
1
Karamann, Mustafa
1
Khrapov, Stanislav
1
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Law, Tzuo Hann
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Lee, Suzanne S.
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Li, Junye
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Ling, Shiqing
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1
Martin, Gael M.
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Pelger, Markus
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Polson, Nicholas G.
1
Renault, Eric
1
Renò, Roberto
1
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Journal of econometrics
Journal of financial economics
44
Journal of banking & finance
31
NBER working paper series
27
Journal of empirical finance
26
Working paper / National Bureau of Economic Research, Inc.
26
NBER Working Paper
25
Finance research letters
23
Management science : journal of the Institute for Operations Research and the Management Sciences
21
Journal of economic dynamics & control
20
International review of economics & finance : IREF
19
International review of financial analysis
17
The review of financial studies
16
Economic modelling
15
International journal of theoretical and applied finance
15
The North American journal of economics and finance : a journal of financial economics studies
15
Applied economics
12
Economics letters
12
Research in international business and finance
12
Working paper
11
Journal of financial markets
10
Journal of international financial markets, institutions & money
10
Journal of risk and financial management : JRFM
10
Pacific-Basin finance journal
10
The journal of finance : the journal of the American Finance Association
10
Discussion paper / Centre for Economic Policy Research
9
Journal of financial and quantitative analysis : JFQA
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Research paper series / Swiss Finance Institute
9
The European journal of finance
9
Annals of finance
8
Applied financial economics
8
Finance and economics discussion series
8
Quantitative finance
8
Swiss Finance Institute Research Paper
8
Discussion papers / CEPR
7
Energy economics
7
FEDS Working Paper
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of financial econometrics
7
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
5
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
6
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
7
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
8
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
9
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
10
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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