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ECONIS (ZBW)
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1
Using principal component analysis to estimate a highdimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
-
2017
Persistent link: https://www.econbiz.de/10012806600
Saved in:
2
Asymmetric jump beta estimation with implications forportfolio risk management
Alexeev, Vitali
;
Urga, Giovanni
;
Yao, Wenying
-
2017
Persistent link: https://www.econbiz.de/10012806610
Saved in:
3
Testing for co-jumps in financial markets
Novotný, Jan
;
Urga, Giovanni
-
2017
-
This version: 24 April 2017
Persistent link: https://www.econbiz.de/10013369926
Saved in:
4
Co-features in finance : co-arrivals and co-jumps
Novotný, Jan
;
Urga, Giovanni
-
2014
Persistent link: https://www.econbiz.de/10010440723
Saved in:
5
A frequency-specific factorization to identify commonalities with an application to the European bond markets
Boffelli, Simona
;
Novotný, Jan
;
Urga, Giovanni
-
2014
Persistent link: https://www.econbiz.de/10010440740
Saved in:
6
Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Leccadito, Arturo
;
Boffelli, Simona
;
Urga, Giovanni
-
2013
Persistent link: https://www.econbiz.de/10010440889
Saved in:
7
Testing for co-jumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
-
2012
Persistent link: https://www.econbiz.de/10009578146
Saved in:
8
Estimation of and inference about the expected shortfall for time series with infinite variance
Linton, Oliver
;
Xiao, Zhijie
-
2012
Persistent link: https://www.econbiz.de/10009578157
Saved in:
9
Testing for breaks in cointegrated panels with common and idiosyncratic stochastic trends
Kao, Chihwa
;
Trapani, Lorenzo
;
Urga, Giovanni
-
2011
Persistent link: https://www.econbiz.de/10009381370
Saved in:
10
Asymptotics for panel models with common shocks
Kao, Chihwa
;
Trapani, Lorenzo
;
Urga, Giovanni
-
2010
Persistent link: https://www.econbiz.de/10003988892
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