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~isPartOf:"China economic review : an international journal"
~isPartOf:"Journal of econometrics"
~person:"Barigozzi, Matteo"
~person:"Kim, Donggyu"
~subject:"Schätztheorie"
~subject:"United States"
~subject:"Volatility"
~subject:"Volatilität"
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Schätztheorie
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Volatility
Volatilität
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7
Time series analysis
7
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Barigozzi, Matteo
Kim, Donggyu
Todorov, Viktor
13
Bollerslev, Tim
10
Slottje, Daniel Jonathan
8
Tauchen, George Eugene
8
Linton, Oliver
6
Park, Joon Y.
6
Aït-Sahalia, Yacine
5
Baltagi, Badi H.
5
Cai, Zongwu
5
Gao, Jiti
5
Li, Jia
5
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5
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4
Diebold, Francis X.
4
Engle, Robert F.
4
Francq, Christian
4
Ghysels, Eric
4
Koop, Gary
4
Lu, Xun
4
McAleer, Michael
4
Pesaran, M. Hashem
4
Su, Liangjun
4
Xiu, Dacheng
4
Zakoïan, Jean-Michel
4
Berndt, Ernst R.
3
Callaway, Brantly
3
Chen, Xiaohong
3
Fan, Yanqin
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Heckman, James J.
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Hsiao, Cheng
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Jorgenson, Dale Weldeau
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Kao, Chihwa
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Klaauw, Wilbert van der
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Klein, Lawrence Robert
3
Maasoumi, Esfandiar
3
Manski, Charles F.
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China economic review : an international journal
Journal of econometrics
LEM working paper series
3
ECARES working paper
2
Finance and economics discussion series
2
KAIST College of Business Working Paper Series
2
KAIST College of Business Working Paper Series No
2
Econometrics : open access journal
1
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1
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1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
The review of economics and statistics
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ECONIS (ZBW)
8
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1
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo
;
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
Saved in:
2
Large-dimensional dynamic factor models :
estimation
of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Saved in:
3
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
4
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
Saved in:
5
Structured volatility matrix
estimation
for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
6
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
7
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
8
Adaptive thresholding for large volatility matrix
estimation
based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
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