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Journal of econometrics
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ECONIS (ZBW)
1,821
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1
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1
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
Saved in:
2
Climate risks and market efficiency
Hong, Harrison G.
;
Li, Weikai
;
Xu, Jiangmin
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Saved in:
3
Stock co-jump networks
Ding, Yi
;
Li, Yingying
;
Liu, Guoli
;
Zheng, Xinghua
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10015074466
Saved in:
4
Economic tracking portfolios
Lamont, Owen A.
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
Saved in:
5
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
6
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
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7
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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8
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
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9
The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
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10
What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio
Wachter, Jessica
;
Warusawitharana, Missaka
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 74-93
Persistent link: https://www.econbiz.de/10011349544
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