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isPartOf:"Discussion paper"
subject:"Statistische Methodenlehre"
~isPartOf:"CEMMAP working papers / Centre for Microdata Methods and Practice"
~isPartOf:"Journal of econometrics"
~person:"Li, Yingying"
~subject:"USA"
~subject:"Volatility"
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Statistische Methodenlehre
USA
Volatility
Estimation theory
7
Schätztheorie
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Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
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Volatilität
5
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Market microstructure noise
4
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3
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3
Integrated volatility
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Li, Yingying
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Gouriéroux, Christian
3
Jasiak, Joann
3
Linton, Oliver
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zheng, Xinghua
3
Anders, Ulrich
2
Botosaru, Irene
2
Chernozhukov, Victor
2
Clinet, Simon
2
Fan, Jianqing
2
Fernández-Val, Iván
2
Gallant, A. Ronald
2
Ghysels, Eric
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Grynkiv, Iaryna
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Hoderlein, Stefan
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Horowitz, Joel
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Kong, Xin-Bing
2
Koopman, Siem Jan
2
Korn, Olaf
2
LaFrance, Jeffrey T.
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Li, Guodong
2
Li, Wai Keung
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Mayer, Walter James
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Discussion paper
CEMMAP working papers / Centre for Microdata Methods and Practice
Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
3
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
4
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
5
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
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