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subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"Ludvigson, Sydney C."
~person:"Xiu, Dacheng"
~subject:"United States"
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Volatility
United States
Estimation
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Koopman, Siem Jan
Ludvigson, Sydney C.
Xiu, Dacheng
Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
7
Aït-Sahalia, Yacine
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Kim, Donggyu
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Journal of econometrics
Discussion paper / Tinbergen Institute
22
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Weltwirtschaftliches Archiv : Zeitschrift des Instituts für Weltwirtschaft an der Universität Kiel
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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
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2
Accelerating score-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
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
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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