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Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
Zhou, Yong; Wan, Alan T.K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-202
Persistent link: https://www.econbiz.de/10008455129
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The leverage effect puzzle: Disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10010122976
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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Fan, Jianqing; Li, Yingying; Yu, Ke - In: Journal of the American Statistical Association : JASA 107 (2012) 497, pp. 412-429
Persistent link: https://www.econbiz.de/10009981416
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THE LEVERAGE EFFECT PUZZLE: DISENTANGLING SOURCES OF BIAS AT HIGH FREQUENCY
Ait-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - 2011
Persistent link: https://www.econbiz.de/10009833031