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person:"Jenkins, Stephen P."
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Handbook of econometrics : volume 6B"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Bailey, Natalia"
~person:"Blundell, Richard W."
~person:"Caetano, Carolina"
~person:"Card, David E."
~person:"Fang, Ying"
~person:"Fernández-Villaverde, Jesús"
~person:"Heckman, James J."
~person:"Huber, Florian"
~person:"Kim, Donggyu"
~person:"Levinsohn, James Alan"
~person:"Nelson, Daniel B."
~subject:"ARCH model"
~type:"article"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Jenkins, Stephen P.
Bailey, Natalia
Blundell, Richard W.
Caetano, Carolina
Card, David E.
Fang, Ying
Fernández-Villaverde, Jesús
Heckman, James J.
Huber, Florian
Kim, Donggyu
Levinsohn, James Alan
Nelson, Daniel B.
Francq, Christian
11
Zakoïan, Jean-Michel
8
Zhu, Ke
4
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3
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Handbook of econometrics : volume 6B
Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
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ECONIS (ZBW)
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1
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
2
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
3
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
4
Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B.
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
2
,
pp. 347-370
Persistent link: https://www.econbiz.de/10001101893
Saved in:
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