Jump factor models in large cross‐sections
Year of publication: |
2019
|
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Authors: | Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene |
Published in: |
Quantitative economics : QE ; journal of the Econometric Society. - Oxford [u.a.] : Wiley, ISSN 1759-7331, ZDB-ID 2569569-1. - Vol. 10.2019, 2, p. 419-456
|
Subject: | Factor model | panel | high-frequency data | jumps | semimartingale,specification test | stochastic volatility | Volatilität | Volatility | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | Martingal | Martingale | Panel | Panel study | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3982/QE1060 [DOI] hdl:10419/217147 [Handle] |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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