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isPartOf:"The journal of real estate finance and economics"
subject:"Theory"
~isPartOf:"Journal of econometrics"
~person:"Grynkiv, Iaryna"
~person:"Xiu, Dacheng"
~subject:"Volatility"
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Theory
Volatility
Estimation
6
Schätzung
6
Volatilität
5
Capital income
4
Estimation theory
4
Kapitaleinkommen
4
Schätztheorie
4
Börsenkurs
3
Share price
3
Time series analysis
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3
ARCH model
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Factor analysis
2
Factor model
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Faktorenanalyse
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Grynkiv, Iaryna
Xiu, Dacheng
Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
8
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
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Andersen, Torben
4
Ghysels, Eric
4
Pace, R. Kelley
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Zakoïan, Jean-Michel
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Chinloy, Peter
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Fan, Jianqing
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Francq, Christian
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3
McAleer, Michael
3
Patton, Andrew J.
3
Pesaran, M. Hashem
3
Phillips, Peter C. B.
3
Steel, Mark F. J.
3
Wang, Yazhen
3
Andreou, Elena
2
Asai, Manabu
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
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Botosaru, Irene
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Christensen, Kim
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Clapp, John M.
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Colwell, Peter F.
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Creal, Drew
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Ergemen, Yunus Emre
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Fernández, Carmen
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Fulop, Andras
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Gallant, A. Ronald
2
Gallo, Giampiero M.
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The journal of real estate finance and economics
Journal of econometrics
Chicago Booth Research Paper
2
ERID working 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
Economic Research Initiatives at Duke (ERID) Working Paper
1
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1
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:
2
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:
3
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
4
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
5
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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