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Bollerslev, Tim
65
Andersen, Torben G.
27
Diebold, Francis X.
16
Todorov, Viktor
16
Tauchen, George
11
Bollerslev, T.
9
Baillie, Richard T.
6
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6
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5
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3
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3
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1
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1
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1
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1
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1
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Journal of econometrics
22
Working paper / National Bureau of Economic Research, Inc
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
The journal of finance : the journal of the American Finance Association
6
Econometric theory
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Journal of empirical finance
3
Journal of international money and finance
3
The review of financial studies
3
International economic review
2
Journal of financial economics
2
Journal of international economics
2
Journal of the American Statistical Association : JASA
2
The review of economics and statistics
2
European financial management : the journal of the European Financial Management Association
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of international financial markets, institutions & money
1
Macroeconomic dynamics
1
Risk : managing risk in the world's financial markets
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
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Technical working paper / National Bureau of Economic Research
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The American economic review
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OLC EcoSci
ECONIS (ZBW)
374
RePEc
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EconStor
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BASE
12
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5
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Tails, Fears, and Risk Premia
BOLLERSLEV, TIM
;
TODOROV, VIKTOR
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2212
Persistent link: https://www.econbiz.de/10009799635
Saved in:
2
Estimation of Jump Tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1784
Persistent link: https://www.econbiz.de/10009802517
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3
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/10010063357
Saved in:
4
Jumps and betas: A new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-236
Persistent link: https://www.econbiz.de/10008433407
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5
ON THE PARAMETRIZATION OF MULTIVARIATE GARCH MODELS
Scherrer, Wolfgang
;
Ribarits, Eva
;
Baba, Y.
;
Engle, R.F.
; …
- In:
Econometric theory
23
(
2007
)
3
,
pp. 464-484
Persistent link: https://www.econbiz.de/10007718228
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6
HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
Iglesias, Emma M.
;
Linton, Oliver B.
;
Andrews, D.W.K.
; …
- In:
Econometric theory
23
(
2007
)
6
,
pp. 1136-1161
Persistent link: https://www.econbiz.de/10007869213
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7
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
Todorov, Viktor
;
Tauchen, George
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
4
,
pp. 455-469
Persistent link: https://www.econbiz.de/10008222287
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8
Variance Risk-Premium Dynamics: The Role of Jumps
Todorov, Viktor
- In:
The review of financial studies
23
(
2013
)
1
,
pp. 345-344
Persistent link: https://www.econbiz.de/10010113782
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9
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Todorov, Viktor
- In:
Journal of econometrics
148
(
2009
)
2
,
pp. 131-148
Persistent link: https://www.econbiz.de/10008175049
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10
Testing semiparametric conditional moment restrictions using conditional martingale transforms
Todorov, Viktor
;
Tauchen, George
- In:
Journal of econometrics
154
(
2010
)
1
,
pp. 74-85
Persistent link: https://www.econbiz.de/10008350271
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