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~person:"Bollerslev, Tim"
~source:"econis"
~subject:"Börsenkurs"
~subject:"Schätzung"
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Börsenkurs
Schätzung
Forecasting model
59
Prognoseverfahren
59
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47
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47
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40
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40
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33
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Bollerslev, Tim
Gupta, Rangan
125
Pierdzioch, Christian
61
Ma, Feng
58
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55
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52
McAleer, Michael
46
Timmermann, Allan
42
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37
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35
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33
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32
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32
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32
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31
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30
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29
Salisu, Afees A.
29
Swanson, Norman R.
29
Ravazzolo, Francesco
28
Zhou, Guofu
27
Ghysels, Eric
26
Kilian, Lutz
26
Döpke, Jörg
25
Herwartz, Helmut
25
Koop, Gary
25
Huber, Florian
24
Rossi, Barbara
24
Siliverstovs, Boriss
24
Baumeister, Christiane
23
Guidolin, Massimo
23
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23
Härdle, Wolfgang
22
Balcilar, Mehmet
21
Wohar, Mark E.
21
Bekaert, Geert
19
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19
Hamilton, James D.
19
Wang, Jiqian
19
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2
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2
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1
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1
From zero to hero: realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
-
2021
choose the thresholds to maximize the out-ofsample
forecast
performance of time series models based on realized partial (co …
Persistent link: https://www.econbiz.de/10012249756
Saved in:
2
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
3
Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
Saved in:
4
Roughing up Beta : Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns
Bollerslev, Tim
-
2016
We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...
Persistent link: https://www.econbiz.de/10013005591
Saved in:
5
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
2014
Persistent link: https://www.econbiz.de/10010442441
Saved in:
6
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
-
2012
Persistent link: https://www.econbiz.de/10009667370
Saved in:
7
Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim
-
2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
Saved in:
8
Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim
-
2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
Saved in:
9
Stock Return and Cash Flow Predictability : The Role of Volatility Risk
Bollerslev, Tim
-
2012
evidence that the expected return variation and the variance risk premium positively
forecast
both short-horizon returns and …
Persistent link: https://www.econbiz.de/10013097882
Saved in:
10
Stock return predictability and variance risk premia : statistical inference and international evidence
Bollerslev, Tim
;
Marrone, James
;
Xu, Lai
;
Zhou, Hao
-
2011
Persistent link: https://www.econbiz.de/10009406434
Saved in:
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