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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
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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
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Forecasting multivariate realized stock market volatility
Bauer, Gregory H.; Vorkink, Keith - In: Journal of econometrics 160 (2011) 1, pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of econometrics 217 (2020) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
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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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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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Intraday cross-sectional distributions of systematic risk
Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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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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Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624