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ECONIS (ZBW)
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1
Factor-based imputation of missing values and covariances in panel data of large dimensions
Cahan, Ercument
;
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014340963
Saved in:
2
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas
;
Paparoditis, Efstathios
;
Trenkler, Carsten
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
Saved in:
3
Modeling realized covariance measures with heterogeneous liquidity : a generalized matrix-variate Wishart state-space model
Gribisch, Bastian
;
Hartkopf, Jan Patrick
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014434377
Saved in:
4
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:
5
Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Yang, Xinxin
;
Zheng, Xinghua
;
Chen, Jiaqi
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 409-423
Persistent link: https://www.econbiz.de/10012619243
Saved in:
6
Overlap in observational studies with high-dimensional covariates
D'Amour, Alexander
;
Ding, Peng
;
Feller, Avi
;
Lei, Lihua
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 644-654
Persistent link: https://www.econbiz.de/10012619253
Saved in:
7
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
8
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
9
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
10
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
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11
A rank test for the number of factors with high-frequency data
Kong, Xin-Bing
;
Liu, Zhi
;
Zhou, Wang
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 439-460
Persistent link: https://www.econbiz.de/10012303820
Saved in:
12
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
13
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
14
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
15
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:
16
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
17
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford
;
Feng, Phoenix
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
Saved in:
18
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
Saved in:
19
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
20
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
21
Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan
;
Liao, Yuan
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
Saved in:
22
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin
;
Maheu, John M.
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
Saved in:
23
Testing super-diagonal structure in high dimensional covariance matrices
He, Jing
;
Chen, Song Xi
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 283-297
Persistent link: https://www.econbiz.de/10011705144
Saved in:
24
Multi-scale tests for serial correlation
Gençay, Ramazan
;
Signori, Daniele
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 62-80
Persistent link: https://www.econbiz.de/10011326817
Saved in:
25
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
26
Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias
;
Mammen, Enno
;
Vogt, Michael
- In:
Journal of econometrics
188
(
2015
)
1
,
pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
Saved in:
27
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
28
A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
Saved in:
29
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
- In:
Journal of econometrics
175
(
2013
)
2
,
pp. 142-153
Persistent link: https://www.econbiz.de/10009764416
Saved in:
30
Integrated variance forecasting : model based vs. reduced form
Sizova, Natalia
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 294-311
Persistent link: https://www.econbiz.de/10009270630
Saved in:
31
Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 74-98
Persistent link: https://www.econbiz.de/10008839938
Saved in:
32
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
Saved in:
33
Estimating covariation : Epps effect, microstructure noise
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 33-47
Persistent link: https://www.econbiz.de/10009242560
Saved in:
34
Realized range-based estimation of integrated variance
Christensen, Kimberly
;
Podolskij, Mark
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 323-349
Persistent link: https://www.econbiz.de/10003571292
Saved in:
35
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
36
Invariance and the Wald test
Kemp, Gordon C. R.
- In:
Journal of econometrics
104
(
2001
)
2
,
pp. 209-217
Persistent link: https://www.econbiz.de/10001606579
Saved in:
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