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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:"Tauchen, George Eugene"
~person:"Xiu, Dacheng"
~subject:"Bayes-Statistik"
~subject:"Estimation"
~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
Estimation
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Stochastic volatility
Volatility
Volatilität
23
Schätzung
13
Estimation theory
12
Schätztheorie
12
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11
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11
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11
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Stochastischer Prozess
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Theory
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Financial market
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Martingal
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26
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Tauchen, George Eugene
Xiu, Dacheng
Bollerslev, Tim
19
Todorov, Viktor
18
Koop, Gary
13
Andersen, Torben
12
Aït-Sahalia, Yacine
12
Linton, Oliver
12
Janiszewski, Chris A.
11
Gallant, A. Ronald
10
Phillips, Peter C. B.
10
Ghysels, Eric
9
Gouriéroux, Christian
9
McAleer, Michael
9
Meddahi, Nour
9
Krishna, Aradhna
8
Laran, Juliano
8
Shephard, Neil G.
8
Su, Liangjun
8
Wyer, Robert S.
8
Yu, Jun
8
Zhang, Xinyu
8
Bagchi, Rajesh
7
Gao, Jiti
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Rucker, Derek D.
7
Schorfheide, Frank
7
Shiv, Baba
7
Argo, Jennifer J.
6
Bearden, William O.
6
Berger, Jonah
6
Cavaliere, Giuseppe
6
Dijk, Herman K. van
6
Kim, Donggyu
6
Lichtenstein, Donald R.
6
Maheu, John M.
6
Marcellino, Massimiliano
6
McGill, Ann L.
6
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Journal of consumer research : JCR ; an interdisciplinary bimonthly
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Computation and estimation in finance and economics
1
Econometric theory
1
Econometrics : open access journal
1
Journal of financial economics
1
Journal of political economy
1
Macroeconomic dynamics
1
Nonparametric dynamic modelling
1
Quantitative economics : QE ; journal of the Econometric Society
1
Review of finance : journal of the European Finance Association
1
The quarterly journal of finance
1
The review of economic studies
1
The review of economics and statistics
1
The review of financial studies
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ECONIS (ZBW)
26
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1
New directions in nonlinear structural estimation : Bayes and Frequentist: editorial
Tauchen, George Eugene
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 1-3
Persistent link: https://www.econbiz.de/10013441706
Saved in:
2
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
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
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
5
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
6
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
7
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
8
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
9
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:
10
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
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