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subject:"Capital income"
subject:"Zeitreihenanalyse"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~person:"Aït-Sahalia, Yacine"
~person:"Barigozzi, Matteo"
~subject:"Kapitaleinkommen"
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Capital income
Zeitreihenanalyse
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Aït-Sahalia, Yacine
Barigozzi, Matteo
Koopman, Siem Jan
56
Lucas, André
33
Dijk, Herman K. van
26
Phillips, Peter C. B.
16
Blasques, Francisco
14
Bos, Charles S.
14
Koop, Gary
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Dijk, Dick van
13
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13
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10
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9
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7
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7
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7
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6
Mariano, Roberto S.
6
Xiao, Zhijie
6
Chen, Xiaohong
5
Gooijer, Jan G. de
5
Grassi, Stefano
5
Hallin, Marc
5
Hoek, Henk
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Linton, Oliver
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Ravazzolo, Francesco
5
Taylor, Robert
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Vries, Casper G. de
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Aastveit, Knut Are
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Asai, Manabu
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Discussion paper / Tinbergen Institute
Journal of econometrics
The journal of finance : the journal of the American Finance Association
ECARES working paper
7
Working paper / National Bureau of Economic Research, Inc.
6
NBER working paper series
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ECONIS (ZBW)
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1
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
2
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
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
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Barigozzi, Matteo
;
Cho, Haeran
;
Fryzlewicz, Piotr
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 187-225
Persistent link: https://www.econbiz.de/10012110376
Saved in:
5
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
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
Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
Saved in:
8
Luxury goods and the equity premium
Aït-Sahalia, Yacine
;
Parker, Jonathan A.
;
Yogo, Motohiro
- In:
The journal of finance : the journal of the American …
59
(
2004
)
6
,
pp. 2959-3004
Persistent link: https://www.econbiz.de/10002504180
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