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Efficient Estimation of Firm-S...
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Chengdu International Econometrics Conference in Honor of Professor Cheng Hsiao's Contribution to Econometrics <2012, Chengdu>
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Journal of econometrics
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1
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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A diagnostic criterion for approximate factor structure
Gagliardini, Patrick
;
Ossola, Elisa
;
Scaillet, Olivier
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 503-521
Persistent link: https://www.econbiz.de/10012304081
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3
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332237
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4
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Blake, David
;
Caulfield, Tristan
;
Ioannidis, Christos
; …
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 202-210
Persistent link: https://www.econbiz.de/10010506059
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5
Testing against constant factor loading matrix with large panel high-frequency data
Kong, Xin-bing
;
Liu, Cheng
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 301-319
Persistent link: https://www.econbiz.de/10011974736
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6
Efficient two-step estimation via targeting
Frazier, David T.
;
Renault, Eric
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 212-227
Persistent link: https://www.econbiz.de/10011918705
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7
Generalized aggregation of misspecified models : with an application to asset pricing
Gospodinov, Nikolaj
;
Maasoumi, Esfandiar
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 451-467
Persistent link: https://www.econbiz.de/10012619705
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8
A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim
;
Küchlin, Eva-Maria
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 6-33
Persistent link: https://www.econbiz.de/10012110233
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9
Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, Andras
;
Heng, Jeremy
;
Li, Junye
;
Liu, Hening
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 62-84
Persistent link: https://www.econbiz.de/10013441725
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10
Detecting identification failure in moment condition models
Forneron, Jean-Jacques
- In:
Journal of econometrics
238
(
2024
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10015073829
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