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subject:"Volatilität"
~isPartOf:"Applied financial economics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"The journal of futures markets"
~subject:"Risk premium"
~subject:"Stock market"
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Volatilität
Risk premium
Stock market
Estimation
886
Schätzung
886
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234
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Capital income
224
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224
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Garrett, Ian
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Dijk, Dick van
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Applied financial economics
Journal of empirical finance
The journal of futures markets
Finance research letters
189
International review of economics & finance : IREF
189
Applied economics
186
Economic modelling
175
International review of financial analysis
173
Working paper / National Bureau of Economic Research, Inc.
152
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150
NBER working paper series
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Applied economics letters
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The North American journal of economics and finance : a journal of financial economics studies
139
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132
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The European journal of finance
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78
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
International journal of finance & economics : IJFE
73
Economics letters
72
Pacific-Basin finance journal
66
International journal of economics and finance
61
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
61
Discussion paper / Tinbergen Institute
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
Cogent economics & finance
53
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
53
International journal of forecasting
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
International journal of economics and financial issues : IJEFI
49
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48
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ECONIS (ZBW)
338
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1
Credit default swaps and firm risk
Lin, Hai
;
Binh Hoang Nguyen
;
Wang, Junbo
;
Zhang, Cheng
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
Saved in:
2
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
3
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
4
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
5
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
6
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
7
Expected returns and risk in the stock market
Brennan, Michael J.
;
Taylor, Alex P.
- In:
Journal of empirical finance
72
(
2023
),
pp. 276-300
Persistent link: https://www.econbiz.de/10014476857
Saved in:
8
Investor sentiment and global economic conditions
Herculano, Miguel C.
;
Lütkebohmert-Holtz, Eva
- In:
Journal of empirical finance
73
(
2023
),
pp. 134-152
Persistent link: https://www.econbiz.de/10014477003
Saved in:
9
Forecasting realized volatility with machine learning : panel data perspective
Zhu, Haibin
;
Bai, Lu
;
He, Lidan
;
Liu, Zhi
- In:
Journal of empirical finance
73
(
2023
),
pp. 251-271
Persistent link: https://www.econbiz.de/10014477028
Saved in:
10
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
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