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~isPartOf:"Journal of econometrics"
~isPartOf:"Oxford bulletin of economics and statistics"
~language:"eng"
~language:"lit"
~language:"und"
~person:"Xiu, Dacheng"
~subject:"Geldpolitik"
~subject:"Großbritannien"
~subject:"Volatility"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Fallstudie"
~type_genre:"Statistik"
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Geldpolitik
Großbritannien
Volatility
Volatilität
Capital income
6
Kapitaleinkommen
6
Estimation
4
Estimation theory
4
Forecasting model
4
Option pricing theory
4
Optionspreistheorie
4
Prognoseverfahren
4
Schätztheorie
4
Schätzung
4
ARCH model
3
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Börsenkurs
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Factor analysis
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Factor model
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Stochastischer Prozess
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Big data
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Market microstructure
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Marktmikrostruktur
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Xiu, Dacheng
Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
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Barigozzi, Matteo
6
Cavaliere, Giuseppe
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Ghysels, Eric
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Kim, Donggyu
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Machin, Stephen
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Shephard, Neil G.
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Stewart, Mark B.
6
Taylor, Robert
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
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Hallin, Marc
5
Li, Yingying
5
Linton, Oliver
5
Pesaran, M. Hashem
5
Rahbek, Anders
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Renault, Eric
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Zhou, Hao
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Blackaby, David
4
Booth, Alison L.
4
Boswijk, Herman Peter
4
Bradley, Steve
4
Carriero, Andrea
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Dickerson, Andrew P.
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Francq, Christian
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Girma, Sourafel
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Greenaway, David
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Journal of econometrics
Oxford bulletin of economics and statistics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Source
All
ECONIS (ZBW)
8
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
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