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isPartOf:"Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series"
subject:"Capital income"
~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~person:"Neely, Christopher J."
~person:"Xiu, Dacheng"
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Estimation
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Neely, Christopher J.
Xiu, Dacheng
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
Journal of econometrics
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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2
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
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3
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
4
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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