Stock returns and volatility: pricing the long-run and short-run components of market risk
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Bibliographic InfoArticle provided by Board of Governors of the Federal Reserve System (U.S.) in its journal Proceedings.
Volume (Year): (2005)
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
OFRC Working Papers Series
2005fe08, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
- Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011.
"The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR,"
Discussion Paper Series 1: Economic Studies
2011,05, Deutsche Bundesbank, Research Centre.
- Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR," CEPR Discussion Papers 8341, C.E.P.R. Discussion Papers.
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