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Journal of econometrics
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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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2
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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3
Macroeconomic uncertainty prices when beliefs are tenuous
Hansen, Lars Peter
;
Sargent, Thomas J.
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 222-250
Persistent link: https://www.econbiz.de/10012619969
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4
Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus
;
Voigt, Stefan
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
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5
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
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6
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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7
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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8
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
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9
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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10
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.
;
Fearnley, Marcus
;
Fisher, Adlai
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
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