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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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Monetary reforms and inflation expectations in Japan : evidence from inflation-indexed bonds
Christensen, Jens H. E.; Spiegel, Mark - In: Journal of econometrics 231 (2022) 2, pp. 410-431
Persistent link: https://www.econbiz.de/10013464829
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Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
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Realized jumps on financial markets and predicting credit spreads
Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10009242533
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Term structure models and the zero bound : an empirical investigation of Japanese yields
Kim, Don H.; Singleton, Kenneth J. - In: Journal of econometrics 170 (2012) 1, pp. 32-49
Persistent link: https://www.econbiz.de/10009673160
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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - In: Journal of econometrics 201 (2017) 2, pp. 348-366
Persistent link: https://www.econbiz.de/10011920515
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 171 (2012) 2, pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
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The VIX, the variance premium and stock market volatility
Bekaert, Geert; Hoerova, Marie - In: Journal of econometrics 183 (2014) 2, pp. 181-192
Persistent link: https://www.econbiz.de/10010506065