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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of econometrics"
~person:"Chen, Xiaohong"
~person:"Fabozzi, Frank J."
~person:"McAleer, Michael"
~subject:"Lieferkette"
~subject:"Risk measure"
~subject:"Theorie"
~subject:"Time series analysis"
~subject:"USA"
~subject:"Unternehmenserfolg"
~subject:"Volatility"
~subject:"Welt"
~subject:"portfolio choice"
~type_genre:"Article in journal"
~type_genre:"Collection of articles written by one author"
~type_genre:"Sammlung"
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Lieferkette
Risk measure
Theorie
Time series analysis
USA
Unternehmenserfolg
Volatility
Welt
portfolio choice
Theory
20
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Estimation theory
15
Schätztheorie
15
Zeitreihenanalyse
14
Volatilität
9
Stochastic process
7
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7
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5
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3
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3
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32
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32
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Chen, Xiaohong
Fabozzi, Frank J.
McAleer, Michael
Phillips, Peter C. B.
48
Linton, Oliver
26
Taylor, Robert
24
Bollerslev, Tim
22
Ghysels, Eric
20
Gouriéroux, Christian
20
Aït-Sahalia, Yacine
19
Pesaran, M. Hashem
19
Koop, Gary
18
Swanson, Norman R.
18
Tauchen, George Eugene
18
Todorov, Viktor
18
Yu, Jun
17
Lee, Lung-fei
16
Park, Joon Y.
16
Robinson, Peter M.
16
Xiao, Zhijie
16
Diebold, Francis X.
15
Corradi, Valentina
14
Dufour, Jean-Marie
14
Gil-Alaña, Luis A.
14
Timmermann, Allan
14
Chang, Tsangyao
13
Gao, Jiti
13
Hong, Yongmiao
13
Leybourne, Stephen James
13
Patton, Andrew J.
13
Renault, Eric
13
Schmidt, Peter
13
Andersen, Torben
12
Baltagi, Badi H.
12
Cebula, Richard J.
12
Chib, Siddhartha
12
Kumbhakar, Subal
12
Li, Qi
12
Mykland, Per A.
12
Slottje, Daniel Jonathan
12
Cook, Steven
11
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Applied economics letters
Journal of econometrics
Econometric reviews
18
Applied economics
16
Journal of economic surveys
15
Journal of risk and financial management : JRFM
13
The journal of portfolio management : JPM
12
The journal of portfolio management : a publication of Institutional Investor
12
The journal of fixed income
11
Econometric theory
10
Applied financial economics
8
Energy economics
8
International journal of theoretical and applied finance
8
International review of economics & finance : IREF
7
The North American journal of economics and finance : a journal of financial economics studies
7
Computational economics
6
Economics letters
6
Journal of banking & finance
6
Journal of forecasting
6
Annals of financial economics
5
Econometrics : open access journal
5
European journal of operational research : EJOR
5
Finance research letters
5
Risks : open access journal
5
The Japanese economic review : the journal of the Japanese Economic Association
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
International journal of forecasting
4
International review of financial analysis
4
Journal of applied econometrics
4
The journal of fixed income : JFI
4
Tourism economics : the business and finance of tourism and recreation
4
Advances in futures and options research : a research annual
3
Annals of operations research
3
Review of quantitative finance and accounting
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
The journal of asset management
3
The journal of financial research
3
The journal of structured finance
3
The review of economics and statistics
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ECONIS (ZBW)
32
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32
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1
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
2
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
3
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
Saved in:
4
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
Bonaparte, Yosef
;
Fabozzi, Frank J.
- In:
Applied economics letters
24
(
2017
)
13/15
,
pp. 923-927
Persistent link: https://www.econbiz.de/10011714413
Saved in:
5
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
6
Semiparametric identification of the bid-ask spread in extended Roll models
Chen, Xiaohong
;
Linton, Oliver
;
Yi, Yanping
- In:
Journal of econometrics
200
(
2017
)
2
,
pp. 312-325
Persistent link: https://www.econbiz.de/10011917258
Saved in:
7
A capital adequacy buffer model
Allen, David E.
;
McAleer, Michael
;
Powell, R. J.
; …
- In:
Applied economics letters
23
(
2016
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10011414540
Saved in:
8
Econometric analysis of financial derivatives
Chang, Chia-Lin
(
ed.
);
McAleer, Michael
(
ed.
)
-
2015
Persistent link: https://www.econbiz.de/10011499675
Saved in:
9
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
10
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
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