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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Aït-Sahalia, Yacine"
~person:"Chang, Chia-Lin"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~person:"Zhou, Liyun"
~subject:"ARCH-Modell"
~subject:"Analysis of variance"
~subject:"Theorie"
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Kapitaleinkommen
ARCH-Modell
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Estimation
14
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9
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8
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8
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Aït-Sahalia, Yacine
Chang, Chia-Lin
Pelger, Markus
Xiu, Dacheng
Zhou, Liyun
Todorov, Viktor
9
Gupta, Rangan
8
Bollerslev, Tim
6
Koop, Gary
5
Zakoïan, Jean-Michel
5
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4
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4
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3
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3
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3
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Kang, Sang Hoon
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3
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3
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Pesaran, M. Hashem
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Phillips, Peter C. B.
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Xuan Vinh Vo
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Ergemen, Yunus Emre
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Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
Econometric Institute research papers
9
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5
Swiss Finance Institute Research Paper
2
The journal of finance : the journal of the American Finance Association
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Annales d'économie et de statistique
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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
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1
Stock-level sentiment contagion and the cross-section of stock returns
Zhou, Liyun
;
Chen, Dongqiao
;
Huang, Jialiang
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014485274
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
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
5
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:
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
Individual stock crowded trades, individual stock investor sentiment and excess returns
Yang, Chunpeng
;
Zhou, Liyun
- In:
The North American journal of economics and finance : a …
38
(
2016
),
pp. 39-53
Persistent link: https://www.econbiz.de/10011673294
Saved in:
9
Investor trading behavior, investor sentiment and asset prices
Yang, Chunpeng
;
Zhou, Liyun
- In:
The North American journal of economics and finance : a …
34
(
2015
),
pp. 42-62
Persistent link: https://www.econbiz.de/10011539669
Saved in:
10
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
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