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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Chang, Chia-Lin"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~subject:"ARCH-Modell"
~subject:"Analysis of variance"
~subject:"Portfolio selection"
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Kapitaleinkommen
ARCH-Modell
Analysis of variance
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Estimation
27
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14
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12
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Chang, Chia-Lin
Pelger, Markus
Xiu, Dacheng
McAleer, Michael
22
Todorov, Viktor
8
Gupta, Rangan
7
Bollerslev, Tim
6
Asai, Manabu
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Zakoïan, Jean-Michel
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Kang, Sang Hoon
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3
Paolella, Marc S.
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Patton, Andrew J.
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Pérez Amaral, Teodosio
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Rombouts, Jeroen V. K.
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Tauchen, George Eugene
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Ur Rehman, Mobeen
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Yang, Chunpeng
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Aït-Sahalia, Yacine
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Hammoudeh, Shawkat
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Hamori, Shigeyuki
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Econometric Institute research papers
Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
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5
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1
International review of economics & finance : IREF
1
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1
Estimating latent asset-pricing factors
Lettau, Martin
;
Pelger, Markus
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
Saved in:
2
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
Saved in:
3
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
4
Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-Yu
;
Chang, Chia-Lin
;
Chen, Chi-chung
; …
-
2013
Persistent link: https://www.econbiz.de/10010354373
Saved in:
5
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009619551
Saved in:
6
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:
7
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
Saved in:
8
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619346
Saved in:
9
Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987330
Saved in:
10
Aggregation, heterogeneous autoregression and volatility of daily international tourist arrivals and exchange rates
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987343
Saved in:
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