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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:"Li, Jia"
~person:"Xiu, Dacheng"
~subject:"ARCH-Modell"
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Kapitaleinkommen
ARCH-Modell
Estimation
9
Schätzung
9
Volatility
8
Volatilität
8
Börsenkurs
7
Estimation theory
7
Schätztheorie
7
Share price
7
Time series analysis
7
Zeitreihenanalyse
7
Capital income
5
High-frequency data
5
Beta risk
3
Betafaktor
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Semimartingale
3
Stochastic process
3
Stochastic volatility
3
Stochastischer Prozess
3
Adaptive estimation
2
Beta
2
CAPM
2
Factor analysis
2
Factor model
2
Faktorenanalyse
2
Market microstructure
2
Marktmikrostruktur
2
Martingal
2
Martingale
2
Portfolio selection
2
Portfolio-Management
2
Regression analysis
2
Regressionsanalyse
2
Semiparametric efficiency
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Specification test
2
Theorie
2
Theory
2
ARCH model
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Li, Jia
Xiu, Dacheng
Todorov, Viktor
8
Gupta, Rangan
7
Bollerslev, Tim
5
Zakoïan, Jean-Michel
5
Francq, Christian
4
Andersen, Torben
3
Dai, Zhifeng
3
Hau, Liya
3
Kim, Donggyu
3
McAleer, Michael
3
Paolella, Marc S.
3
Rombouts, Jeroen V. K.
3
Tauchen, George Eugene
3
Yang, Chunpeng
3
Zhou, Liyun
3
Zhu, Huiming
3
Andreou, Elena
2
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Caporin, Massimiliano
2
Chang, Chia-Lin
2
Cho, Hoon
2
Fan, Jianqing
2
Hamori, Shigeyuki
2
Ji, Qiang
2
Jung, Hojin
2
Kang, Sang Hoon
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Kim, Dong H.
2
Kim, Jong-Min
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Kong, Xin-Bing
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Li, Yingying
2
Liu, Fang
2
Meddahi, Nour
2
Mensi, Walid
2
Mo, Guoli
2
Nonejad, Nima
2
Patton, Andrew J.
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Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
CEA_372Cass working paper series
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Quantitative economics : QE ; journal of the Econometric Society
1
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ECONIS (ZBW)
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1
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
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2
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
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3
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:
4
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:
5
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
6
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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