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~isPartOf:"Journal of econometrics"
~subject:"Estimation"
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Search: subject:"asset pricing"
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Estimation
CAPM
80
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45
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45
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24
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24
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23
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23
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20
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Todorov, Viktor
3
Aït-Sahalia, Yacine
2
Bandi, Federico M.
2
Pelger, Markus
2
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1
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1
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Journal of econometrics
Journal of financial economics
77
Working paper / National Bureau of Economic Research, Inc.
60
Journal of empirical finance
54
Journal of banking & finance
50
NBER working paper series
48
International review of financial analysis
44
Finance research letters
41
NBER Working Paper
37
The journal of finance : the journal of the American Finance Association
33
International review of economics & finance : IREF
32
Applied economics
31
Journal of international financial markets, institutions & money
30
Pacific-Basin finance journal
28
Journal of international money and finance
27
Management science : journal of the Institute for Operations Research and the Management Sciences
27
The North American journal of economics and finance : a journal of financial economics studies
27
Applied financial economics
23
Economic modelling
23
Journal of financial and quantitative analysis : JFQA
23
Research paper series / Swiss Finance Institute
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Discussion paper / Centre for Economic Policy Research
22
The review of financial studies
22
The European journal of finance
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Research in international business and finance
19
Review of quantitative finance and accounting
19
Journal of risk and financial management : JRFM
18
Discussion papers / CEPR
16
CESifo working papers
14
Journal of economic dynamics & control
14
Review of finance : journal of the European Finance Association
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Working paper
14
Applied economics letters
13
The journal of asset management
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Economics letters
12
Review of financial economics : RFE
12
Cogent economics & finance
11
Emerging markets, finance and trade : EMFT
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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
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
3
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:
4
Generalized aggregation of misspecified models : with an application to
asset
pricing
Gospodinov, Nikolaj
;
Maasoumi, Esfandiar
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10012619705
Saved in:
5
Testing capital
asset
pricing
models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
Saved in:
6
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:
7
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:
8
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:
9
Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
Saved in:
10
Estimating latent
asset-pricing
factors
Lettau, Martin
;
Pelger, Markus
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
Saved in:
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