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isPartOf:"Journal of econometrics"
~person:"Li, Wai Keung"
~person:"Quaedvlieg, Rogier"
~subject:"Kapitaleinkommen"
~subject:"Zeitreihenanalyse"
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Kapitaleinkommen
Zeitreihenanalyse
Volatility
5
Volatilität
5
Time series analysis
4
ARCH model
3
ARCH-Modell
3
Estimation theory
3
Schätztheorie
3
Estimation
2
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2
High-frequency data
2
Prognoseverfahren
2
Realized volatility
2
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2
ARCH(∞)
1
Analysis of variance
1
Asymmetric dependence
1
Asymmetric power GARCH
1
Asymmetry testing
1
Capital income
1
Correlation
1
Forecasting
1
HAR
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HARQ
1
Hyperbolic GARCH
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Korrelation
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Market microstructure
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Marktmikrostruktur
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Non-stationarity
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QMLE
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Quantile estimation
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Li, Wai Keung
Quaedvlieg, Rogier
Todorov, Viktor
11
Bollerslev, Tim
10
Andersen, Torben
7
Tauchen, George Eugene
7
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
5
Hallin, Marc
4
McAleer, Michael
4
Meddahi, Nour
4
Patton, Andrew J.
4
Aït-Sahalia, Yacine
3
Barigozzi, Matteo
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Renault, Eric
3
Shephard, Neil G.
3
Taylor, Robert
3
Wang, Yazhen
3
Xiu, Dacheng
3
Asai, Manabu
2
Bekaert, Geert
2
Bibinger, Markus
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Christensen, Kim
2
Clinet, Simon
2
Ergemen, Yunus Emre
2
Francq, Christian
2
Grynkiv, Iaryna
2
Hounyo, Ulrich
2
Li, Guodong
2
Linton, Oliver
2
Liu, Zhi
2
Medeiros, Marcelo C.
2
Paolella, Marc S.
2
Park, Joon Y.
2
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
ERID working paper
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economies : open access journal
1
Journal of financial economics
1
Journal of forecasting
1
Quantitative finance
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
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
2
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
3
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
4
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
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