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An econometric analysis of asymmetric volatility : theory and application to patents
McAleer, Michael; Chan, Felix; Marinova, Dora - In: Journal of econometrics 139 (2007) 2, pp. 259-284
Persistent link: https://www.econbiz.de/10003485356
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Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity
Bresson, Georges; Hsiao, Cheng; Pirotte, Alain - In: AStA Advances in Statistical Analysis 95 (2011) 4, pp. 435-452
Persistent link: https://www.econbiz.de/10009396976
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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach
Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267
Persistent link: https://www.econbiz.de/10009301926
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Testing error serial correlation in fixed effects nonparametric panel data models
Green, Carl; Long, Wei; Hsiao, Cheng - In: Journal of econometrics 188 (2015) 2, pp. 466-473
Persistent link: https://www.econbiz.de/10011503631
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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Aggregate vs. disaggregate data analysis : a paradox in the estimation of a money demand function of Japan under the low interest rate policy
Hsiao, Cheng; Shen, Yan; Fujiki, Hiroshi - In: Journal of applied econometrics 20 (2005) 5, pp. 579-601
Persistent link: https://www.econbiz.de/10003121139
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Volatility analysis with realized GARCH-Itô models
Song, Xinyu; Kim, Donggyu; Yuan, Huiling; Cui, Xiangyu; … - In: Journal of econometrics 222 (2021) 1,2, pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
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Recursive estimation in large panel data models : theory and practice
Jiang, Bin; Yang, Yanrong; Gao, Jiti; Hsiao, Cheng - In: Journal of econometrics 224 (2021) 2, pp. 439-465
Persistent link: https://www.econbiz.de/10013275396
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Maternal full-time employment and overweight children : parametric, semi-parametric, and non-parametric assessment
Liu, Echu; Hsiao, Cheng; Matsumoto, Tomoya; Chou, Shinyi - In: Journal of econometrics 152 (2009) 1, pp. 61-69
Persistent link: https://www.econbiz.de/10003878757