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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"International economics : a journal published by CEPII (Center for research and expertise on the world economy)"
~isPartOf:"Journal of econometrics"
~person:"Chang, Chia-Lin"
~person:"Gupta, Rangan"
~person:"Nonejad, Nima"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~person:"Zhou, Liyun"
~subject:"ARCH-Modell"
~subject:"Regressionsanalyse"
~type:"article"
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Kapitaleinkommen
ARCH-Modell
Regressionsanalyse
Estimation
7
Schätzung
7
Capital income
5
Volatility
5
Volatilität
5
Theorie
4
Theory
4
Börsenkurs
3
CAPM
3
Factor analysis
3
Faktorenanalyse
3
High-dimensional data
3
Portfolio selection
3
Portfolio-Management
3
Share price
3
Time series analysis
3
Zeitreihenanalyse
3
ARCH model
2
Estimation theory
2
Factor model
2
High-frequency data
2
Latent factor model
2
PCA
2
Schätztheorie
2
Analysis of variance
1
Anomalies
1
Approximate factor model
1
Asynchronous data
1
Beta risk
1
Betafaktor
1
Big data
1
Cosine-squared cepstrum
1
Cross section of returns
1
EM algorithm
1
Expected returns
1
Fama-French factors
1
Forecasting model
1
Großbritannien
1
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Chang, Chia-Lin
Gupta, Rangan
Nonejad, Nima
Pelger, Markus
Xiu, Dacheng
Zhou, Liyun
Todorov, Viktor
8
Bollerslev, Tim
5
Zakoïan, Jean-Michel
5
Francq, Christian
4
Ghysels, Eric
4
Andersen, Torben
3
Hoderlein, Stefan
3
Kim, Donggyu
3
Lamarche, Carlos
3
Phillips, Peter C. B.
3
Rombouts, Jeroen V. K.
3
Su, Liangjun
3
Tauchen, George Eugene
3
Ai, Chunrong
2
Andreou, Elena
2
Aït-Sahalia, Yacine
2
Bertanha, Marinho
2
Chen, Heng
2
Chernozhukov, Victor
2
Chiang, Harold D.
2
Fan, Jianqing
2
Fan, Yanqin
2
Gao, Jiti
2
Harding, Matthew C.
2
Hong, Yongmiao
2
Hsu, Yu-Chin
2
Kim, Tae-hwan
2
Kong, Xin-Bing
2
Lee, Lung-fei
2
Li, Jia
2
Li, Kunpeng
2
Li, Yingying
2
Linton, Oliver
2
Malikov, Emir
2
Meddahi, Nour
2
Miao, Ke
2
Mroz, Thomas A.
2
Paolella, Marc S.
2
Patton, Andrew J.
2
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
14
Finance research letters
8
International journal of finance & economics : IJFE
4
International review of economics & finance : IREF
4
International review of financial analysis
4
Research in international business and finance
4
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
Economic modelling
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Energy economics
3
Journal of multinational financial management
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The European journal of finance
3
Applied economics
2
Economics and Business Letters : EBL
2
Economics letters
2
Journal of economics and finance
2
Journal of forecasting
2
Open economies review
2
Applied economics letters
1
Applied financial economics
1
Behavioral Finance and Asset Prices : The Influence of Investor's Emotions
1
Defence and peace economics
1
Economic change and restructuring : empirical and policy research on the transitional and emerging economies
1
Economic systems
1
Economies : open access journal
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Emerging markets review
1
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
1
Empirica : journal of european economics
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International journal of forecasting
1
Journal of risk
1
Macroeconomics and finance in emerging market economies
1
Pacific-Basin finance journal
1
Quantitative finance
1
Risks : open access journal
1
Structural change and economic dynamics : SC+ED
1
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ECONIS (ZBW)
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1
Inflation-targeting and inflation volatility : international evidence from the cosine-squared cepstrum
Antonakakis, Nikolaos
;
Christou, Christina
;
Gil-Alaña, …
- In:
International economics : a journal published by CEPII …
167
(
2021
),
pp. 29-38
Persistent link: https://www.econbiz.de/10013269231
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
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