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isPartOf:"The journal of real estate finance and economics"
subject:"Theory"
~isPartOf:"Journal of econometrics"
~person:"Xiu, Dacheng"
~person:"Zakoïan, Jean-Michel"
~subject:"Volatility"
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Theory
Volatility
Estimation
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Volatilität
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Xiu, Dacheng
Zakoïan, Jean-Michel
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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3
Andreou, Elena
2
Asai, Manabu
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Bandi, Federico M.
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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
CORE discussion paper : DP
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 financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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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
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
3
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
4
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:
5
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
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
Saved in:
7
Contemporaneous asymmetry in GARCH processes
Babsiri, Mohamed el
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
101
(
2001
)
2
,
pp. 257-294
Persistent link: https://www.econbiz.de/10001554899
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