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subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Aït-Sahalia, Yacine"
~subject:"Time series analysis"
~subject:"United States"
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Volatility
Time series analysis
United States
Estimation
5
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4
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Capital income
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Aït-Sahalia, Yacine
Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
7
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
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Park, Joon Y.
3
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3
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3
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2
Asai, Manabu
2
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Journal of econometrics
The journal of finance : the journal of the American Finance Association
2
Working paper / National Bureau of Economic Research, Inc.
2
Annales d'économie et de statistique
1
CEA_372Cass working paper series
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Econometrics of imperfect competition
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Journal of financial economics
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ECONIS (ZBW)
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1
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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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
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:
4
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
5
Do option markets correctly price the probabilities of movement of the underlying asset?
Aït-Sahalia, Yacine
;
Wang, Yubo
;
Yared, Francis
- In:
Journal of econometrics
102
(
2001
)
1
,
pp. 67-110
Persistent link: https://www.econbiz.de/10001575286
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