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Testing for time-varying factor loadings in high-dimensional factor models

Xu, Wen - In: Econometric reviews 41 (2022) 8, pp. 918-965

Persistent link: https://www.econbiz.de/10013364920

Identifying latent factors based on high-frequency data

Sun, Yucheng; Xu, Wen; Zhang, Chuanhai - In: Journal of econometrics 233 (2023) 1, pp. 251-270

Persistent link: https://www.econbiz.de/10014341048

Tourism, economic growth, and tourism-induced EKC hypothesis : evidence from the Mediterranean region

Gao, Jing; Xu, Wen; Zhang, Lei - In: Empirical economics : a quarterly journal of the … 60 (2021) 3, pp. 1507-1529

Persistent link: https://www.econbiz.de/10012490599

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...

Persistent link: https://www.econbiz.de/10011650493

Volatility spillovers among the three places across the Taiwan strait : evidence from a BEKK-CARR approach

Wu, Chun Chou; Xu, Wen - In: Asia-Pacific journal of financial studies 51 (2022) 6, pp. 896-913

Persistent link: https://www.econbiz.de/10014240210

Three essays on modeling conditional correlation

Sheppard, Kevin - 2004

Persistent link: https://www.econbiz.de/10003550225

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