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isPartOf:"The journal of real estate finance and economics"
subject:"Theory"
~isPartOf:"Journal of econometrics"
~person:"Fan, Jianqing"
~person:"Xiu, Dacheng"
~subject:"Volatility"
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Volatility
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Fan, Jianqing
Xiu, Dacheng
Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
8
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Koop, Gary
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Li, Jia
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Asai, Manabu
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The journal of real estate finance and economics
Journal of econometrics
Chicago Booth Research Paper
2
CEA_372Cass working paper series
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
KAIST College of Business Working Paper Series No
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
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ECONIS (ZBW)
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1
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
2
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:
3
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:
4
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:
5
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
Saved in:
6
Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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