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  • Search: subject:"factor GARCH"
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Year of publication
Subject
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ARCH model 2 ARCH-Modell 1 Analysis of variance 1 Asse pricing 1 Börsenkurs 1 Co-persistence in variance 1 Component GARCH 1 Estimation 1 Estimation theory 1 Exchange rate dynamics 1 Factor GARCH 1 GARCH 1 IGARCH models 1 Integrated GARCH 1 Joint estimations 1 Option pricing theory 1 Optionspreistheorie 1 Persistence in variance 1 Return and dividend growth predictability 1 Risikoprämie 1 Risk premium 1 Schätztheorie 1 Schätzung 1 Share price 1 Stochastic process 1 Stochastischer Prozess 1 Two-factor GARCH 1 Two-factor stochastic volatility 1 Variance risk premium 1 Variance-dependent pricing Kernel 1 Varianzanalyse 1 Volatility 1 Volatilität 1 equilibrium pricing 1 expected variation 1 long-run risk 1 reduced form VAR 1 stochastic volatility and uncertainty 1 variance risk premium 1 “structural” factor GARCH 1
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Online availability
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Free 3
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 2 Undetermined 1
Author
All
Bollerslev, Tim 2 Engle, Robert F. 1 Ghanbari, Hamed 1 Xu, Lai 1 Zhou, Hao 1
Institution
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School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 Journal of empirical finance 1
Source
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BASE 1 ECONIS (ZBW) 1 RePEc 1
Showing 1 - 3 of 3
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015179565
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Stock Return and Cash Flow Predictability: The Role of Volatility Risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - School of Economics and Management, University of Aarhus - 2012
forecast dividend growth rates. Our equilibrium-based “structural” factor GARCH model permits much more accurate inference than …
Persistent link: https://www.econbiz.de/10010851207
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Cover Image
Common Persistence in Conditional Variances
Bollerslev, Tim; Engle, Robert F. - 1994
Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an...
Persistent link: https://www.econbiz.de/10009475524
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