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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:"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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Volatility
Volatilität
8
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6
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6
Estimation
4
Estimation theory
4
Forecasting model
4
Option pricing theory
4
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4
Schätztheorie
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Xiu, Dacheng
Bollerslev, Tim
19
Todorov, Viktor
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Tauchen, George Eugene
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Aït-Sahalia, Yacine
12
Andersen, Torben
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Janiszewski, Chris A.
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Gallant, A. Ronald
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McAleer, Michael
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Meddahi, Nour
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Koop, Gary
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Krishna, Aradhna
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Laran, Juliano
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Mykland, Per A.
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Wyer, Robert S.
8
Yu, Jun
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Zhang, Xinyu
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Bagchi, Rajesh
7
Ghysels, Eric
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Li, Jia
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Patton, Andrew J.
7
Rucker, Derek D.
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Shiv, Baba
7
Argo, Jennifer J.
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Bandi, Federico M.
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Bearden, William O.
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Cavaliere, Giuseppe
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Dijk, Herman K. van
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Maheu, John M.
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Morales, Andrea C.
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Renault, Eric
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Journal of consumer research : JCR ; an interdisciplinary bimonthly
Journal of econometrics
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)
9
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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
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:
5
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:
6
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:
7
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:
8
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:
9
Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
Saved in:
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