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~isPartOf:"CESifo Forum"
~isPartOf:"Environmental modeling & assessment"
~isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~person:"Aït-Sahalia, Yacine"
~person:"Oka, Tatsushi"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Autokorrelation"
~subject:"Bildungsertrag"
~subject:"EU-Staaten"
~subject:"Estimation"
~subject:"Globalization"
~subject:"Innovation"
~subject:"Regression analysis"
~subject:"Schätzung"
~subject:"Structural innovations"
~subject:"Welt"
~subject:"Ökonometrisches Modell"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Asai, Manabu
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1
Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine
;
Laeven, Roger J. A.
;
Pelizzon, Loriana
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 151-167
Persistent link: https://www.econbiz.de/10010506073
Saved in:
2
Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
Kim, Dukpa
;
Oka, Tatsushi
;
Estrada, Francisco
;
Perron, …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10012438315
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Aït-Sahalia, Yacine
;
Bickel, Peter J.
;
Stoker, Thomas …
- In:
Journal of econometrics
105
(
2001
)
2
,
pp. 363-412
Persistent link: https://www.econbiz.de/10001633671
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6
Do option markets correctly price the probabilities of movement of the underlying asset?
Aït-Sahalia, Yacine
;
Wang, Yubo
;
Yared, Francis
- In:
Journal of econometrics
102
(
2001
)
1
,
pp. 67-110
Persistent link: https://www.econbiz.de/10001575286
Saved in:
7
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
8
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:
9
Quantile treatment effects in difference in differences models under dependence restrictions and with only two time periods
Callaway, Brantly
;
Li, Tong
;
Oka, Tatsushi
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 395-413
Persistent link: https://www.econbiz.de/10012110398
Saved in:
10
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
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