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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E., Hansen, Peter Reinhard, Lunde, Asger, Shephard, Neil
Published in Journal of econometrics (01.06.2011)
Published in Journal of econometrics (01.06.2011)
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Identification of peer effects through social networks
Bramoullé, Yann, Djebbari, Habiba, Fortin, Bernard
Published in Journal of econometrics (01.05.2009)
Published in Journal of econometrics (01.05.2009)
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The affine arbitrage-free class of Nelson–Siegel term structure models
Christensen, Jens H.E., Diebold, Francis X., Rudebusch, Glenn D.
Published in Journal of econometrics (01.09.2011)
Published in Journal of econometrics (01.09.2011)
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A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Doz, Catherine, Giannone, Domenico, Reichlin, Lucrezia
Published in Journal of econometrics (01.09.2011)
Published in Journal of econometrics (01.09.2011)
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Quantile regression for dynamic panel data with fixed effects
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