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~isPartOf:"Journal of consumer research : JCR ; an interdisciplinary bimonthly"
~isPartOf:"Journal of econometrics"
~language:"bul"
~language:"eng"
~language:"hun"
~language:"msa"
~language:"spa"
~person:"Cavaliere, Giuseppe"
~person:"Tauchen, George Eugene"
~person:"Xiu, Dacheng"
~subject:"Bayes-Statistik"
~subject:"Factor analysis"
~subject:"Konsumentenverhalten"
~subject:"Stochastic volatility"
~subject:"Volatility"
~type_genre:"Amtsdruckschrift"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
~type_genre:"Bibliographie enthalten"
~type_genre:"Conference paper"
~type_genre:"Konferenzbeitrag"
~type_genre:"Ratgeber"
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Bayes-Statistik
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Stochastic volatility
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29
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14
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14
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14
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Cavaliere, Giuseppe
Tauchen, George Eugene
Xiu, Dacheng
Bollerslev, Tim
19
Todorov, Viktor
17
Andersen, Torben
11
Aït-Sahalia, Yacine
11
Janiszewski, Chris A.
11
Gallant, A. Ronald
9
McAleer, Michael
9
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Krishna, Aradhna
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Laran, Juliano
8
Meddahi, Nour
8
Wyer, Robert S.
8
Yu, Jun
8
Zhang, Xinyu
8
Bagchi, Rajesh
7
Fan, Jianqing
7
Hallin, Marc
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Rucker, Derek D.
7
Shiv, Baba
7
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6
Barigozzi, Matteo
6
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6
Berger, Jonah
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Dijk, Herman K. van
6
Ghysels, Eric
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Gonçalves, Sílvia
6
Gouriéroux, Christian
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Kim, Donggyu
6
Li, Yingying
6
Lichtenstein, Donald R.
6
Maheu, John M.
6
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Journal of consumer research : JCR ; an interdisciplinary bimonthly
Journal of econometrics
Econometric reviews
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
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3
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ECONIS (ZBW)
31
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11
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
12
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:
13
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
14
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
15
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
16
A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang
;
Xiu, Dacheng
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 176-196
Persistent link: https://www.econbiz.de/10011591632
Saved in:
17
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
18
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
19
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Saved in:
20
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
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