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
Works matching IS 14798409 AND DT 2024 AND VI 22 AND IP 5
Results: 20
1
2
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
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- Publication type:
- Article
3
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
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- Publication type:
- Article
4
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
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- Publication type:
- Article
5
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
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- Publication type:
- Article
6
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
7
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
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- Publication type:
- Article
8
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
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- Publication type:
- Article
9
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
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- Publication type:
- Article
10
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
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- Publication type:
- Article
11
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
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- Publication type:
- Article
12
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
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- Publication type:
- Article
13
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
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- Publication type:
- Article
14
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
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- Publication type:
- Article
15
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
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- Publication type:
- Article
16
Factor Overnight GARCH-Itô Models.
- Published in:
- Journal of Financial Econometrics, 2024, v. 22, n. 5, p. 1209, doi. 10.1093/jjfinec/nbad032
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- Publication type:
- Article
17
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
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- Publication type:
- Article
18
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
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- Publication type:
- Article
19
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
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- Publication type:
- Article
20
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
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- Publication type:
- Article