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subject:"EU-Staaten"
type_genre:"Übersichtsarbeit"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of political economy"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~person:"Caporin, Massimiliano"
~person:"Xiu, Dacheng"
~subject:"Exchange rate"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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EU-Staaten
Exchange rate
Volatility
Estimation
8
Schätzung
8
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6
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5
Kapitaleinkommen
5
Time series analysis
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Caporin, Massimiliano
Xiu, Dacheng
Todorov, Viktor
13
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9
Tauchen, George Eugene
7
Andersen, Torben
5
Kim, Donggyu
5
Li, Jia
5
McAleer, Michael
5
Xuan Vinh Vo
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Aït-Sahalia, Yacine
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International review of economics & finance : IREF
Journal of econometrics
Journal of political economy
The journal of finance : the journal of the American Finance Association
Journal of empirical finance
2
Journal of risk and financial management : JRFM
2
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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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The European journal of finance
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ECONIS (ZBW)
6
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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
Saved in:
2
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
3
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:
4
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:
5
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
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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