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person:"Bauwens, Luc"
subject:"Share price"
~person:"Mills, Terence C."
~person:"Song, Yuping"
~type:"article"
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Estimation theory
33
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Time series analysis
22
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Bauwens, Luc
Mills, Terence C.
Song, Yuping
Maheswaran, S.
9
Li, Jia
8
Tauchen, George Eugene
8
Todorov, Viktor
7
Kim, Donggyu
6
Faff, Robert W.
5
Kumar, Dilip
5
Wang, Yazhen
5
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4
Francq, Christian
4
Sentana, Enrique
4
Shephard, Neil G.
4
Tse, Yiu Kuen
4
Zakoïan, Jean-Michel
4
Allen, David E.
3
Brooks, Robert
3
Corhay, Albert
3
Feng, Yuanhua
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3
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3
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3
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International review of financial analysis
2
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International journal of finance & economics : IJFE
1
International journal of financial engineering
1
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Scottish journal of political economy : the journal of the Scottish Economic Society
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1
Robust nonparametric estimation for the volatility of financial market
Kao, Chunyu
;
Song, Yuping
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014251158
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
5
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
6
Asymmetric ACD models: introducing price information in ACD models
Bauwens, Luc
;
Giot, Pierre
- In:
Empirical economics : a journal of the Institute for …
28
(
2003
)
4
,
pp. 709-731
Persistent link: https://www.econbiz.de/10001798161
Saved in:
7
The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc
;
Giot, Pierre
- In:
Annales d'économie et de statistique
(
2000
),
pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
Saved in:
8
The econometrics of the "market model" : cointegration, error correction and exogeneity
Mills, Terence C.
- In:
International journal of finance & economics : IJFE
1
(
1996
)
4
,
pp. 275-286
Persistent link: https://www.econbiz.de/10001211526
Saved in:
9
The market model and the event study method: a rejoinder
Coutts, J. Andrew
- In:
International review of financial analysis
5
(
1996
)
1
,
pp. 83-86
Persistent link: https://www.econbiz.de/10001215567
Saved in:
10
The market model and the event study method : a synthesis of the econometric criticisms
Coutts, J. Andrew
- In:
International review of financial analysis
3
(
1994
)
2
,
pp. 149-171
Persistent link: https://www.econbiz.de/10001178408
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