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High-Dimensional Granger Causality Tests with an Application to VIX and News*.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 3, p. 605, doi. 10.1093/jjfinec/nbac023
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- Publication type:
- Article
Panel data nowcasting: The case of price–earnings ratios.
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- Journal of Applied Econometrics, 2024, v. 39, n. 2, p. 292, doi. 10.1002/jae.3028
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- Publication type:
- Article
Nowcasting Net Asset Values: The Case of Private Equity.
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- Review of Financial Studies, 2023, v. 36, n. 3, p. 945, doi. 10.1093/rfs/hhac045
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- Publication type:
- Article
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS.
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- Econometric Theory, 2023, v. 39, n. 1, p. 70, doi. 10.1017/S0266466621000359
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- Publication type:
- Article
Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data.
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- Journal of Financial Econometrics, 2023, v. 21, n. 1, p. 260, doi. 10.1093/jjfinec/nbz029
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- Publication type:
- Article
Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data*.
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- Journal of Financial Econometrics, 2021, v. 19, n. 3, p. 459, doi. 10.1093/jjfinec/nbz007
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- Publication type:
- Article
Mixed-Frequency Macro–Finance Factor Models: Theory and Applications.
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- Journal of Financial Econometrics, 2020, v. 18, n. 3, p. 585, doi. 10.1093/jjfinec/nbaa015
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- Article
ET INTERVIEW: JEAN-PIERRE FLORENS.
- Published in:
- Econometric Theory, 2020, v. 36, n. 3, p. 369, doi. 10.1017/S0266466619000100
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- Publication type:
- Article
Monthly Art Market Returns.
- Published in:
- Journal of Risk & Financial Management, 2020, v. 13, n. 5, p. 1, doi. 10.3390/jrfm13050100
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- Publication type:
- Article
Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange.
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- Journal of Risk & Financial Management, 2019, v. 12, n. 4, p. 1, doi. 10.3390/jrfm12040164
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- Publication type:
- Article
Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product.
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- Review of Accounting Studies, 2019, v. 24, n. 2, p. 570, doi. 10.1007/s11142-019-09493-0
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- Publication type:
- Article
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?.
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- Management Science, 2018, v. 64, n. 10, p. 4936, doi. 10.1287/mnsc.2017.2864
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- Publication type:
- Article
Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis.
- Published in:
- Journal of Risk & Financial Management, 2018, v. 11, n. 2, p. 1, doi. 10.3390/jrfm11020023
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- Publication type:
- Article
Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability.
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- Review of Financial Studies, 2018, v. 31, n. 2, p. 678, doi. 10.1093/rfs/hhx098
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- Publication type:
- Article
A HIGH-FREQUENCY ASSESSMENT OF THE ECB SECURITIES MARKETS PROGRAMME.
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- Journal of the European Economic Association, 2017, v. 15, n. 1, p. 218, doi. 10.1093/jeea/jvw003
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- Publication type:
- Article
Frailty Models for Commercial Mortgages.
- Published in:
- Journal of Fixed Income, 2016, v. 26, n. 2, p. 16, doi. 10.3905/jfi.2016.26.2.016
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- Publication type:
- Article
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.
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- Review of Financial Studies, 2016, v. 29, n. 8, p. 2069, doi. 10.1093/rfs/hhw009
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- Publication type:
- Article
Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference.
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- Journal of Financial Econometrics, 2016, v. 14, n. 2, p. 227, doi. 10.1093/jjfinec/nbv009
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- Publication type:
- Article
Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series.
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- Journal of Time Series Analysis, 2015, v. 36, n. 6, p. 797, doi. 10.1111/jtsa.12129
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- Publication type:
- Article
ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS.
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- Econometric Theory, 2015, v. 31, n. 2, p. 362, doi. 10.1017/S0266466614000334
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- Publication type:
- Article
Editorial Announcement.
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- Journal of Financial Econometrics, 2015, v. 13, n. 2, p. 223, doi. 10.1093/jjfinec/nbv002
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- Publication type:
- Article
Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White.
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- 2014
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- Publication type:
- Speech
Editorial Announcement.
- Published in:
- Journal of Financial Econometrics, 2014, v. 12, n. 1, p. 1, doi. 10.1093/jjfinec/nbt026
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- Publication type:
- Article
STOCK MARKET VOLATILITY AND MACROECONOMIC FUNDAMENTALS.
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- Review of Economics & Statistics, 2013, v. 95, n. 3, p. 776, doi. 10.1162/REST_a_00300
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- Publication type:
- Article
Discussion of 'An approach for identifying and predicting economic recessions in real-time using time-frequency functional models'by Holan, Yang, Matteson, and Wikle Discussion of 'An approach for identifying and predicting economic recessions in real-time using time-frequency functional models'by Holan, Yang, Matteson, and Wikle
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- Applied Stochastic Models in Business & Industry, 2012, v. 28, n. 6, p. 500, doi. 10.1002/asmb.1957
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- Article
Editor's Introduction.
- Published in:
- Journal of Financial Econometrics, 2012, v. 10, n. 4, p. 589, doi. 10.1093/jjfinec/nbs017
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- Publication type:
- Article
THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT.
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- Econometric Theory, 2012, v. 28, n. 4, p. 889, doi. 10.1017/S0266466611000818
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- Publication type:
- Article
Derivatives do affect mutual fund returns: Evidence from the financial crisis of 1998.
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- Journal of Futures Markets, 2011, v. 31, n. 7, p. 629, doi. 10.1002/fut.20489
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- Article
The JFEC Invited Lecture at the 2009 SoFiE Conference.
- Published in:
- Journal of Financial Econometrics, 2011, v. 9, n. 1, p. 1, doi. 10.1093/jjfinec/nbq036
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- Publication type:
- Article
HYBRID GARCH Models and Intra-Daily Return Periodicity.
- Published in:
- Journal of Time Series Econometrics, 2011, v. 3, n. 1, p. 1, doi. 10.2202/1941-1928.1095
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- Publication type:
- Article
News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons.
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- Review of Financial Studies, 2011, v. 24, n. 1, p. 46, doi. 10.1093/rfs/hhq071
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- Publication type:
- Article
Introduction.
- Published in:
- Journal of Financial Econometrics, 2010, v. 8, n. 2, p. 155, doi. 10.1093/jjfinec/nbq015
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- Publication type:
- Article
Special Issue on “Multivariate Volatility Models”.
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- Journal of Financial Econometrics, 2009, v. 7, n. 4, p. 339, doi. 10.1093/jjfinec/nbp017
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- Publication type:
- Article
The JFEC Invited Lecture at the 2008 SoFiE Conference.
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- Journal of Financial Econometrics, 2009, v. 7, n. 3, p. 197, doi. 10.1093/jjfinec/nbp008
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- Publication type:
- Article
The Normal Inverse Gaussian Distribution and the Pricing of Derivatives.
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- Journal of Derivatives, 2009, v. 16, n. 3, p. 23, doi. 10.3905/JOD.2009.16.3.023
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- Publication type:
- Article
The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4-6, 2008.
- Published in:
- 2009
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- Publication type:
- Proceeding
Valuation in US Commercial Real Estate.
- Published in:
- European Financial Management, 2007, v. 13, n. 3, p. 472, doi. 10.1111/j.1468-036X.2007.00369.x
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- Publication type:
- Article
Why Do Absolute Returns Predict Volatility So Well?
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- Journal of Financial Econometrics, 2007, v. 5, n. 1, p. 31, doi. 10.1093/jjfinec/nbl010
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- Publication type:
- Article
Do Heterogeneous Beliefs Matter for Asset Pricing?
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- Review of Financial Studies, 2005, v. 18, n. 3, p. 875, doi. 10.1093/rfs/hhi026
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- Publication type:
- Article
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS.
- Published in:
- Econometric Theory, 2004, v. 20, n. 6, p. 1168, doi. 10.1017/S0266466604206053
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- Publication type:
- Article
Modeling Marketing Dynamics by Time Series Econometrics.
- Published in:
- Marketing Letters, 2004, v. 15, n. 4, p. 167, doi. 10.1007/s11002-005-0455-0
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- Publication type:
- Article
Monetary Policy Rules with Model and Data Uncertainty.
- Published in:
- Southern Economic Journal, 2002, v. 69, n. 2, p. 239, doi. 10.2307/1061671
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- Publication type:
- Article
DETECTING MULTIPLE BREAKS IN FINANCIAL MARKET VOLATILITY DYNAMICS.
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- Journal of Applied Econometrics, 2002, v. 17, n. 5, p. 579, doi. 10.1002/jae.684
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- Publication type:
- Article
Seasonal Time Series and Autocorrelation Function Estimation.
- Published in:
- Manchester School (1463-6786), 2002, v. 70, n. 5, p. 651, doi. 10.1111/1467-9957.00318
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- Publication type:
- Article
TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING Part I: Theory.
- Published in:
- Macroeconomic Dynamics, 2000, v. 4, n. 4, p. 467, doi. 10.1017/s136510050001703x
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- Publication type:
- Article
Price Discovery without Trading: Evidence from the Nasdaq Preopening.
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- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 3, p. 1339, doi. 10.1111/0022-1082.00249
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- Publication type:
- Article
A SEMIPARAMETRIC FACTOR MODEL OF INTEREST RATES AND TESTS OF THE AFFINE TERM STRUCTURE.
- Published in:
- Review of Economics & Statistics, 1998, v. 80, n. 4, p. 535, doi. 10.1162/003465398557816
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- Publication type:
- Article
On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?
- Published in:
- Journal of Finance (Wiley-Blackwell), 1998, v. 53, n. 2, p. 549, doi. 10.1111/0022-1082.224803
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- Publication type:
- Article
Bayesian inference for periodic regime-switching models.
- Published in:
- Journal of Applied Econometrics, 1998, v. 13, n. 2, p. 129, doi. 10.1002/(SICI)1099-1255(199803/04)13:2<129::AID-JAE466>3.0.CO;2-2
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- Publication type:
- Article
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 1998, v. 2, n. 4, p. 133, doi. 10.2202/1558-3708.1035
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- Publication type:
- Article