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News and Idiosyncratic Volatility: The Public Information Processing Hypothesis.
- Published in:
- Journal of Financial Econometrics, 2021, v. 19, n. 1, p. 1, doi. 10.1093/jjfinec/nbaa038
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- Publication type:
- Article
Dynamic Conditional Beta.
- Published in:
- Journal of Financial Econometrics, 2016, v. 14, n. 4, p. 643, doi. 10.1093/jjfinec/nbw006
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- Publication type:
- Article
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 1, p. 54, doi. 10.1093/jjfinec/nbr005
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- Publication type:
- Article
Long-Term Skewness and Systemic Risk.
- Published in:
- Journal of Financial Econometrics, 2011, v. 9, n. 3, p. 437, doi. 10.1093/jjfinec/nbr002
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- Publication type:
- Article
Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis.
- Published in:
- Journal of Financial Econometrics, 2010, v. 8, n. 2, p. 158, doi. 10.1093/jjfinec/nbq009
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- Publication type:
- Article
Time-Varying Arrival Rates of Informed and Uninformed Trades.
- Published in:
- Journal of Financial Econometrics, 2008, v. 6, n. 2, p. 171, doi. 10.1093/jjfinec/nbn003
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- Publication type:
- Article
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns.
- Published in:
- Journal of Financial Econometrics, 2006, v. 4, n. 4, p. 537, doi. 10.1093/jjfinec/nbl005
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- Publication type:
- Article
Trades and Quotes: A Bivariate Point Process.
- Published in:
- Journal of Financial Econometrics, 2003, v. 1, n. 2, p. 159, doi. 10.1093/jjfinec/nbg011
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- Publication type:
- Article
EXACT MAXIMUM LIKELIHOOD METHODS FOR DYNAMIC REGRESSIONS AND BAND SPECTRUM REGRESSIONS.
- Published in:
- International Economic Review, 1980, v. 21, n. 2, p. 391, doi. 10.2307/2526188
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- Publication type:
- Article
AN ASSET PRICE MODEL OF AGGREGATE INVESTMENT.
- Published in:
- International Economic Review, 1975, v. 16, n. 3, p. 625, doi. 10.2307/2526000
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- Publication type:
- Article
BAND SPECTRUM REGRESSION.
- Published in:
- International Economic Review, 1974, v. 15, n. 1, p. 1, doi. 10.2307/2526084
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- Publication type:
- Article
Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns.
- Published in:
- Management Science, 2017, v. 63, n. 11, p. 3760, doi. 10.1287/mnsc.2016.2536
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- Publication type:
- Article
Copula-Based vMEM Specifications versus Alternatives: The Case of Trading Activity.
- Published in:
- Econometrics (2225-1146), 2017, v. 5, n. 2, p. 16, doi. 10.3390/econometrics5020016
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- Publication type:
- Article
The Econometrics of Ultra‐high‐frequency Data.
- Published in:
- Econometrica, 2000, v. 68, n. 1, p. 1, doi. 10.1111/1468-0262.00091
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- Publication type:
- Article
AUTOREGRESSIVE CONDITIONAL DURATION: A NEW MODEL FOR IRREGULARLY SPACED TRANSACTION DATA.
- Published in:
- Econometrica, 1998, v. 66, n. 5, p. 1127, doi. 10.2307/2999632
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- Publication type:
- Article
COMMON PERSISTENCE IN CONDITIONAL VARIANCES.
- Published in:
- Econometrica, 1993, v. 61, n. 1, p. 167, doi. 10.2307/2951782
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- Publication type:
- Article
METEOR SHOWERS OR HEAT WAVES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN THE FOREIGN EXCHANGE....
- Published in:
- Econometrica, 1990, v. 58, n. 3, p. 525, doi. 10.2307/2938189
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- Publication type:
- Article
ESTIMATING TIME VARYING RISK PREMIA IN THE TERM STRUCTURE: THE ARCH-M MODEL.
- Published in:
- Econometrica, 1987, v. 55, n. 2, p. 391, doi. 10.2307/1913242
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- Publication type:
- Article
CO-INTEGRATION AND ERROR CORRECTION: REPRESENTATION, ESTIMATION, AND TESTING.
- Published in:
- Econometrica, 1987, v. 55, n. 2, p. 251, doi. 10.2307/1913236
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- Publication type:
- Article
EXOGENEITY.
- Published in:
- Econometrica, 1983, v. 51, n. 2, p. 277, doi. 10.2307/1911990
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- Publication type:
- Article
AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED KINGDOM INFLATION.
- Published in:
- Econometrica, 1982, v. 50, n. 4, p. 987, doi. 10.2307/1912773
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- Publication type:
- Article
TESTING PRICE EQUATIONS FOR STABILITY ACROSS SPECTRAL FREQUENCY BANDS.
- Published in:
- Econometrica, 1978, v. 46, n. 4, p. 869, doi. 10.2307/1909754
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- Publication type:
- Article
CONSTRAINTS OFTEN OVERLOOKED IN ANALYSES OF SIMULTANEOUS EQUATION MODELS: COMMENT.
- Published in:
- Econometrica, 1976, v. 44, n. 3, p. 617, doi. 10.2307/1913992
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- Publication type:
- Article
SOME FINITE SAMPLE PROPERTIES OF SPECTRAL ESTIMATORS OF A LINEAR REGRESSION.
- Published in:
- Econometrica, 1976, v. 44, n. 1, p. 149, doi. 10.2307/1911388
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- Publication type:
- Article
SPECIFICATION OF THE DISTURBANCE FOR EFFICIENT ESTIMATION.
- Published in:
- Econometrica, 1974, v. 42, n. 1, p. 135, doi. 10.2307/1913690
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- Publication type:
- Article
POLICY PILLS FOR A METROPOLITAN ECONOMY.
- Published in:
- Papers in Regional Science, 1975, v. 35, n. 1, p. 191, doi. 10.1111/j.1435-5597.1975.tb00955.x
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- Publication type:
- Article
EQUILIBRIUM IN REGIONAL INVESTMENT: A REPLY.
- Published in:
- Journal of Regional Science, 1975, v. 15, n. 2, p. 235, doi. 10.1111/j.1467-9787.1975.tb00925.x
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- Publication type:
- Article
A DISEQUILIBRIUM MODEL OF REGIONAL INVESTMENT.
- Published in:
- Journal of Regional Science, 1974, v. 14, n. 3, p. 367, doi. 10.1111/j.1467-9787.1974.tb00459.x
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- Publication type:
- Article
STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS.
- Published in:
- Review of Economics & Statistics, 2013, v. 95, n. 3, p. 776, doi. 10.1162/REST_a_00300
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- Publication type:
- Article
VOLATILITY SPILLOVERS IN EAST ASIAN FINANCIAL MARKETS: A MEM-BASED APPROACH.
- Published in:
- Review of Economics & Statistics, 2012, v. 94, n. 1, p. 222, doi. 10.1162/REST_a_00167
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- Publication type:
- Article
STOCHASTIC PERMANENT BREAKS.
- Published in:
- Review of Economics & Statistics, 1999, v. 81, n. 4, p. 553, doi. 10.1162/003465399558382
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- Publication type:
- Article
TESTING FOR REGRESSION COEFFICIENT STABILITY WITH A STATIONARY AR(1) ALTERNATIVE.
- Published in:
- Review of Economics & Statistics, 1985, v. 67, n. 2, p. 341, doi. 10.2307/1924737
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- Publication type:
- Article
Compound Tail Risk.
- Published in:
- Journal of Portfolio Management, 2023, v. 50, n. 2, p. 11, doi. 10.3905/jpm.2023.1.555
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- Publication type:
- Article
Impact of Language Complexity on Volatility in Financial Markets: Evidence from Textual Analysis of Earnings Calls.
- Published in:
- Journal of Portfolio Management, 2023, v. 50, n. 2, p. 27, doi. 10.3905/jpm.2023.1.558
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- Publication type:
- Article
Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses.
- Published in:
- Journal of Portfolio Management, 2022, v. 48, n. 10, p. 12, doi. 10.3905/jpm.2022.1.406
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- Publication type:
- Article
Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management.
- Published in:
- Journal of Portfolio Management, 2016, v. 42, n. 5, p. 94, doi. 10.3905/jpm.2016.42.5.094
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- Publication type:
- Article
How to Forecast a Crisis.
- Published in:
- 2010
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- Publication type:
- Editorial
Multivariate Simultaneous Generalized ARCH.
- Published in:
- Econometric Theory, 1995, v. 11, n. 1, p. 122, doi. 10.1017/S0266466600009063
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- Publication type:
- Article
COMMON SEASONAL FEATURES: GLOBAL UNEMPLOYMENT.
- Published in:
- Oxford Bulletin of Economics & Statistics, 1996, v. 58, n. 4, p. 615, doi. 10.1111/j.1468-0084.1996.mp58004003.x
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- Publication type:
- Article
Time and the Price Impact of a Trade.
- Published in:
- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 6, p. 2467, doi. 10.1111/0022-1082.00297
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- Publication type:
- Article
Measuring and Testing the Impact of News on Volatility.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1993, v. 48, n. 5, p. 1749, doi. 10.1111/j.1540-6261.1993.tb05127.x
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- Publication type:
- Article
Hedging Climate Change News.
- Published in:
- Review of Financial Studies, 2020, v. 33, n. 3, p. 1184, doi. 10.1093/rfs/hhz072
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- Publication type:
- Article
Structural GARCH: The Volatility-Leverage Connection.
- Published in:
- Review of Financial Studies, 2018, v. 31, n. 2, p. 449, doi. 10.1093/rfs/hhx099
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- Publication type:
- Article
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk.
- Published in:
- Review of Financial Studies, 2017, v. 30, n. 1, p. 48, doi. 10.1093/rfs/hhw060
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- Publication type:
- Article
A GARCH Option Pricing Model with Filtered Historical Simulation.
- Published in:
- Review of Financial Studies, 2008, v. 21, n. 3, p. 1223, doi. 10.1093/rfs/hhn031
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- Publication type:
- Article
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes.
- Published in:
- Review of Financial Studies, 2008, v. 21, n. 3, p. 1187, doi. 10.1093/rfs/hhn004
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- Publication type:
- Article
SEMIPARAMETRIC VECTOR MEM.
- Published in:
- Journal of Applied Econometrics, 2013, v. 28, n. 7, p. 1067, doi. 10.1002/jae.2292
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- Publication type:
- Article
On the limitations of comparing mean square forecast errors: Comment.
- Published in:
- Journal of Forecasting, 1993, v. 12, n. 8, p. 642, doi. 10.1002/for.3980120805
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- Publication type:
- Article
Modelling Peak Electricity Demand.
- Published in:
- Journal of Forecasting, 1992, v. 11, n. 3, p. 241, doi. 10.1002/for.3980110306
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- Publication type:
- Article
A Comparison of Adaptive Structural Forecasting Methods for Electricity Sales.
- Published in:
- Journal of Forecasting, 1988, v. 7, n. 3, p. 149, doi. 10.1002/for.3980070302
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- Publication type:
- Article