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isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Xiu, Dacheng"
~subject:"Schätztheorie"
~subject:"Stochastischer Prozess"
~subject:"USA"
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Schätztheorie
Stochastischer Prozess
USA
Volatility
8
Volatilität
8
Option pricing theory
4
Optionspreistheorie
4
ARCH model
3
ARCH-Modell
3
Capital income
3
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Kapitaleinkommen
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Börsenkurs
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Derivat
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Option trading
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Ankündigungseffekt
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Xiu, Dacheng
Todorov, Viktor
14
Tauchen, George Eugene
10
Bollerslev, Tim
9
Andersen, Torben
7
Li, Jia
6
McAleer, Michael
6
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Li, Yingying
5
Asai, Manabu
4
Francq, Christian
4
Gallant, A. Ronald
4
Meddahi, Nour
4
Mykland, Per A.
4
Shephard, Neil G.
4
Zakoïan, Jean-Michel
4
Boswijk, Herman Peter
3
Carriero, Andrea
3
Clark, Todd E.
3
Engle, Robert F.
3
Ghysels, Eric
3
Maheu, John M.
3
Marcellino, Massimiliano
3
Park, Joon Y.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Yu, Jun
3
Zhang, Lan
3
Zhou, Hao
3
Amengual, Dante
2
Bandi, Federico M.
2
Bondarenko, Oleg
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Clinet, Simon
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Corradi, Valentina
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Journal of econometrics
Chicago Booth Research Paper
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1
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
2
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
3
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
4
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Saved in:
5
Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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