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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~person:"Caporin, Massimiliano"
~person:"Chang, Chia-Lin"
~person:"Gupta, Rangan"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~person:"Zhou, Liyun"
~subject:"ARCH-Modell"
~type:"article"
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Kapitaleinkommen
ARCH-Modell
Estimation
7
Schätzung
7
Capital income
5
Volatility
5
Volatilität
5
Börsenkurs
4
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4
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Caporin, Massimiliano
Chang, Chia-Lin
Gupta, Rangan
Pelger, Markus
Xiu, Dacheng
Zhou, Liyun
Todorov, Viktor
8
Bollerslev, Tim
5
Zakoïan, Jean-Michel
5
Francq, Christian
4
Andersen, Torben
3
Kim, Donggyu
3
Rombouts, Jeroen V. K.
3
Tauchen, George Eugene
3
Andreou, Elena
2
Aït-Sahalia, Yacine
2
Fan, Jianqing
2
Kong, Xin-Bing
2
Li, Jia
2
Li, Yingying
2
Meddahi, Nour
2
Paolella, Marc S.
2
Patton, Andrew J.
2
Polak, Pawel
2
Wang, Yazhen
2
Asai, Manabu
1
Babsiri, Mohamed el
1
Bakalli, Gaetan
1
Baldovin, Fulvio
1
Bandi, Federico M.
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Bauwens, Luc
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Bekaert, Geert
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Bibinger, Markus
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Bonomo, Marco Antonio
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Caginalp, Gunduz
1
Calzolari, Giorgio
1
Caraglio, Michele
1
Cederburg, Scott
1
Cerovecki, Clément
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Chan, Thomas W. C.
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Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
13
Finance research letters
6
International review of economics & finance : IREF
5
International journal of finance & economics : IJFE
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
Journal of multinational financial management
3
The European journal of finance
3
Economics and Business Letters : EBL
2
Energy economics
2
Journal of economics and finance
2
Journal of forecasting
2
Open economies review
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Applied economics
1
Applied economics letters
1
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1
Behavioral Finance and Asset Prices : The Influence of Investor's Emotions
1
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1
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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International journal of forecasting
1
International review of financial analysis
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Pacific-Basin finance journal
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Risks : open access journal
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Structural change and economic dynamics : SC+ED
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The Japanese economic review : the journal of the Japanese Economic Association
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The Korean economic review
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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
Saved in:
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
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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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