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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
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Skill-biased technical change in US manufacturing : a general index approach
Baltagi, Badi H.; Rich, Daniel P. - In: Journal of econometrics 126 (2005) 2, pp. 549-570
Persistent link: https://www.econbiz.de/10002647899
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The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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The long and the short of the risk-return trade-off
Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: Journal of econometrics 187 (2015) 2, pp. 580-592
Persistent link: https://www.econbiz.de/10011499780
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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Asset-pricing anomalies at the firm level
Cederburg, Scott; O'Doherty, Michael - In: Journal of econometrics 186 (2015) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10011349540