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A Guide to South African Volat...
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Phillips, Peter C. B.
32
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22
Aït-Sahalia, Yacine
20
Todorov, Viktor
19
Ghysels, Eric
18
Koop, Gary
18
Linton, Oliver
18
Pesaran, M. Hashem
18
Tauchen, George Eugene
18
Gouriéroux, Christian
16
Lee, Lung-fei
16
Swanson, Norman R.
16
Taylor, Robert
16
McAleer, Michael
15
Patton, Andrew J.
15
Timmermann, Allan
15
Andersen, Torben
14
Granger, C. W. J.
14
Yu, Jun
14
Corradi, Valentina
13
Chib, Siddhartha
12
Hsiao, Cheng
12
Li, Qi
12
Mykland, Per A.
12
Schmidt, Peter
12
Diebold, Francis X.
11
Koopman, Siem Jan
11
Steel, Mark F. J.
11
Dijk, Herman K. van
10
Dufour, Jean-Marie
10
Maasoumi, Esfandiar
10
Park, Joon Y.
10
Renault, Eric
10
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9
Boswijk, Herman Peter
9
Gallant, A. Ronald
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(EC)2 Conference <1, 1990; 2, 1991>
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Chengdu International Econometrics Conference in Honor of Professor Cheng Hsiao's Contribution to Econometrics <2012, Chengdu>
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Conference on Realized Volatility <2006, Montréal>
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National Bureau of Economic Research
1
National Science Foundation
1
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Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
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ECONIS (ZBW)
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1
On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.
;
Yılmaz, Kamil
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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2
A non-linear dynamic model of the variance risk premium
Eraker, Bjørn
;
Wang, Jiakou
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 547-556
Persistent link: https://www.econbiz.de/10011499758
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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
Risks of large portfolios
Fan, Jianqing
;
Liao, Yuan
;
Shi, Xiaofeng
- In:
Journal of econometrics
186
(
2015
)
2
,
pp. 367-387
Persistent link: https://www.econbiz.de/10011349458
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5
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
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6
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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7
Dynamic conditional angular correlation
Jarjour, Riad
;
Chan, Kung-sik
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 137-150
Persistent link: https://www.econbiz.de/10012439656
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8
Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
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9
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
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10
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
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