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1
Real-time Bayesian learning and
bond
return predictability
Wan, Runqing
;
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 114-130
Persistent link: https://www.econbiz.de/10013441922
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2
Term structure analysis with big data : one-step
estimation
using
bond
prices
Andreasen, Martin Møller
;
Christensen, Jens H. E.
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012303862
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3
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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4
Market
liquidity
as dynamic factors
Hallin, Marc
;
Mathias, Charles
;
Pirotte, Hugues
; …
- In:
Journal of econometrics
163
(
2011
)
1
,
pp. 42-50
Persistent link: https://www.econbiz.de/10009270591
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5
Option market trading activity and the
estimation
of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni
;
Fusari, Nicola
;
Mira, Antonietta
; …
- In:
Journal of econometrics
216
(
2020
)
2
,
pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
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6
A generalized bivariate mixture model for stock price volatility and trading volume
Liesenfeld, Roman
- In:
Journal of econometrics
104
(
2001
)
1
,
pp. 141-178
Persistent link: https://www.econbiz.de/10001589531
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7
Volume, volatility, and leverage : a dynamic analysis
Tauchen, George Eugene
;
Zhang, Harold
;
Liu, Ming
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 177-208
Persistent link: https://www.econbiz.de/10001755397
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8
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
- In:
Journal of econometrics
106
(
2002
)
2
,
pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
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9
Maximum score
estimation
of disequilibrium models and the role of anticipatory price-setting
Mayer, Walter James
- In:
Journal of econometrics
87
(
1998
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001248308
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10
Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
Fanelli, Luca
- In:
Journal of econometrics
170
(
2012
)
1
,
pp. 153-163
Persistent link: https://www.econbiz.de/10009673122
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