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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:"Chang, Chia-Lin"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~subject:"ARCH-Modell"
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Kapitaleinkommen
ARCH-Modell
Estimation
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Chang, Chia-Lin
Pelger, Markus
Xiu, Dacheng
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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
CEA_372Cass working paper series
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International review of economics & finance : IREF
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ECONIS (ZBW)
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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
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4
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:
5
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:
6
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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7
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
8
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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