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Dynamic conditional angular correlation
Jarjour, Riad; Chan, Kung-sik - In: Journal of econometrics 216 (2020) 1, pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
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Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus; Neely, Christopher J.; Winkelmann, Lars - In: Journal of econometrics 209 (2019) 2, pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
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Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor - In: Journal of econometrics 210 (2019) 1, pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - In: Journal of econometrics 212 (2019) 1, pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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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
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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