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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:"Xiu, Dacheng"
~subject:"Bayes-Statistik"
~subject:"CAPM"
~subject:"Konsumentenverhalten"
~subject:"Schätztheorie"
~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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Schätztheorie
Volatility
Volatilität
8
Capital income
6
Kapitaleinkommen
6
Estimation
4
Estimation theory
4
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4
Option pricing theory
4
Optionspreistheorie
4
Prognoseverfahren
4
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3
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Xiu, Dacheng
Phillips, Peter C. B.
33
Linton, Oliver
24
Bollerslev, Tim
21
Lee, Lung-fei
21
Chen, Songnian
19
Aït-Sahalia, Yacine
18
Robinson, Peter M.
18
Su, Liangjun
18
Li, Qi
17
Todorov, Viktor
17
Tauchen, George Eugene
16
Taylor, Robert
16
Gao, Jiti
14
Gouriéroux, Christian
14
Cai, Zongwu
13
Chen, Xiaohong
13
Chib, Siddhartha
13
Yu, Jun
13
Andersen, Torben
12
Fan, Yanqin
12
Ghysels, Eric
12
Koop, Gary
12
Park, Joon Y.
12
Renault, Eric
12
Andrews, Donald W. K.
11
Gallant, A. Ronald
11
Hsiao, Cheng
11
Janiszewski, Chris A.
11
McAleer, Michael
11
Mykland, Per A.
11
Shephard, Neil G.
11
Sun, Yixiao
11
White, Halbert
11
Baltagi, Badi H.
10
Florens, Jean-Pierre
10
Francq, Christian
10
Hong, Han
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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
2
Annual review of financial economics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of political economy
1
Source
All
ECONIS (ZBW)
11
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1
Autoencoder asset pricing models
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
Saved in:
2
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:
3
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:
4
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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