Works matching IS 14798409 AND DT 2024 AND VI 22 AND IP 5
Results: 20
A Structural Break in the Aggregate Earnings–Returns Relation.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1785, doi. 10.1093/jjfinec/nbae015
- By:
- Publication type:
- Article
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1759, doi. 10.1093/jjfinec/nbae014
- By:
- Publication type:
- Article
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1714, doi. 10.1093/jjfinec/nbae013
- By:
- Publication type:
- Article
Large Sample Estimators of the Stochastic Discount Factor*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1672, doi. 10.1093/jjfinec/nbae012
- By:
- Publication type:
- Article
Finite Lag Estimation of Non-Markovian Processes.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1656, doi. 10.1093/jjfinec/nbae011
- By:
- Publication type:
- Article
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1616, doi. 10.1093/jjfinec/nbae010
- By:
- Publication type:
- Article
Jump Clustering, Information Flows, and Stock Price Efficiency†.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1588, doi. 10.1093/jjfinec/nbae009
- By:
- Publication type:
- Article
A Multicountry Model of the Term Structures of Interest Rates with a GVAR*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1558, doi. 10.1093/jjfinec/nbae008
- By:
- Publication type:
- Article
Empirical Asset Pricing with Score-Driven Conditional Betas†.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1310, doi. 10.1093/jjfinec/nbae007
- By:
- Publication type:
- Article
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1532, doi. 10.1093/jjfinec/nbae006
- By:
- Publication type:
- Article
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns†.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1503, doi. 10.1093/jjfinec/nbae005
- By:
- Publication type:
- Article
Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1264, doi. 10.1093/jjfinec/nbae004
- By:
- Publication type:
- Article
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1482, doi. 10.1093/jjfinec/nbae003
- By:
- Publication type:
- Article
Empirical Asset Pricing with Many Test Assets*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1236, doi. 10.1093/jjfinec/nbae002
- By:
- Publication type:
- Article
Measures of Model Risk for Continuous-Time Finance Models*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1456, doi. 10.1093/jjfinec/nbae001
- By:
- Publication type:
- Article
Factor Overnight GARCH-Itô Models.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1209, doi. 10.1093/jjfinec/nbad032
- By:
- Publication type:
- Article
Composite Likelihood for Stochastic Migration Model with Unobserved Factor*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1421, doi. 10.1093/jjfinec/nbad031
- By:
- Publication type:
- Article
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1397, doi. 10.1093/jjfinec/nbad030
- By:
- Publication type:
- Article
A Stochastic Price Duration Model for Estimating High-Frequency Volatility.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1372, doi. 10.1093/jjfinec/nbad029
- By:
- Publication type:
- Article
Powers Correlation Analysis of Returns with a Non-stationary Zero-Process.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1345, doi. 10.1093/jjfinec/nbad025
- By:
- Publication type:
- Article