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~person:"Engle, Robert F."
~person:"Kejriwal, Mohitosh"
~person:"Liao, Yin"
~subject:"Multivariate Analyse"
~subject:"Statistical test"
~type_genre:"Article in journal"
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Engle, Robert F.
Kejriwal, Mohitosh
Liao, Yin
De Nard, Gianluca
3
Hafner, Christian M.
3
Chen, Song Xi
2
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Large dynamic covariance matrices : enhancements based on intraday data
De Nard, Gianluca
;
Engle, Robert F.
;
Ledoit, Olivier
; …
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461761
Saved in:
2
Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
- In:
Journal of banking & finance
99
(
2019
),
pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
Saved in:
3
Wald tests for detecting multiple structural changes in persistence
Kejriwal, Mohitosh
;
Perron, Pierre
;
Zhou, Jing
- In:
Econometric theory
29
(
2013
)
2
,
pp. 289-323
Persistent link: https://www.econbiz.de/10009760008
Saved in:
4
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
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