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  • Search: isPartOf:"Journal of Financial Econometrics"
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Year of publication
Subject
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Theorie 237 Theory 237 Volatility 186 Volatilität 186 Estimation theory 146 Schätztheorie 146 Estimation 141 Schätzung 141 ARCH model 110 ARCH-Modell 110 Forecasting model 109 Prognoseverfahren 109 Time series analysis 106 Zeitreihenanalyse 106 Capital income 105 Kapitaleinkommen 105 Börsenkurs 86 Share price 86 Stochastic process 80 Stochastischer Prozess 80 Portfolio selection 70 Portfolio-Management 70 Risikomaß 65 Risk measure 65 CAPM 59 Statistical distribution 51 Statistische Verteilung 51 Correlation 49 Korrelation 49 Risikoprämie 46 Risk premium 46 Statistical test 39 Statistischer Test 39 Bayes-Statistik 38 Bayesian inference 38 Nichtparametrisches Verfahren 37 Nonparametric statistics 37 Yield curve 36 Zinsstruktur 36 Option pricing theory 35
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Online availability
All
Undetermined 513 Free 27
Type of publication
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Article 841 Book / Working Paper 10
Type of publication (narrower categories)
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Article in journal 567 Aufsatz in Zeitschrift 567 Collection of articles of several authors 5 Sammelwerk 5 Aufsatzsammlung 4 Festschrift 3 Conference proceedings 1 Konferenzschrift 1
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Language
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English 569 Undetermined 282
Author
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Ghysels, Eric 22 Canopius, Adam 21 Garcia, René 16 Engle, Robert F. 15 Gouriéroux, Christian 14 Gagliardini, Patrick 13 Monfort, Alain 12 Gallant, A. Ronald 11 Renault, Eric 11 Audrino, Francesco 10 Härdle, Wolfgang 10 Lunde, Asger 10 Trojani, Fabio 10 Antoine, Bertille 9 Corsi, Fulvio 9 Hasbrouck, Joel 8 Hautsch, Nikolaus 8 Maheu, John M. 8 Almeida, Caio 7 Ardison, Kym 7 Barndorff-Nielsen, Ole E. 7 Gallo, Giampiero M. 7 Koopman, Siem Jan 7 Olmo, Jose 7 Ruiz, Esther 7 Timmermann, Allan 7 White, Halbert 7 Wu, Liuren 7 Caporin, Massimiliano 6 Kleibergen, Frank 6 Laurent, Sébastien 6 Paolella, Marc S. 6 Proulx, Kevin 6 Teräsvirta, Timo 6 Francq, Christian 5 Hansen, Peter Reinhard 5 Herwartz, Helmut 5 Horváth, Lajos 5 Jondeau, Eric 5 Kong, Lingwei 5
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Published in...
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Journal of financial econometrics : official journal of the Society for Financial Econometrics 370 Journal of Financial Econometrics 278 Journal of financial econometrics 203
Source
All
ECONIS (ZBW) 569 RePEc 278 OLC EcoSci 4
Showing 241 - 250 of 851
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High- and low-frequency correlations in European government bond spreads and their macroeconomic drivers
Boffelli, Simona; Skintzi, Vasiliki D.; Urga, Giovanni - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 62-105
Persistent link: https://www.econbiz.de/10011658739
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Smoothing it out : empirical and simulation results for disentangled realized covariances
Vander Elst, Harry; Veredas, David - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 106-138
Persistent link: https://www.econbiz.de/10011658742
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Specification testing in Hawkes models
Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 139-171
Persistent link: https://www.econbiz.de/10011658747
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Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
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Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick; Ghysels, Eric; Rubin, Mirco - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
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The tradability premium on the S&P 500 Index
Gouriéroux, Christian; Jasiak, Joann; Xu, Peng - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 461-495
Persistent link: https://www.econbiz.de/10011623634
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Efficient portfolio selection in a large market
Chen, Jiaqin; Yuan, Ming - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 496-524
Persistent link: https://www.econbiz.de/10011623668
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Overnight news and daily equity trading risk limits
Ahoniemi, Katja; Fuertes, Ana María; Olmo, Jose - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
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Exceedance correlation tests for financial returns
Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
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