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isPartOf:"Journal of econometrics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~person:"Chen, Rui"
~person:"Georgiev, Iliyan"
~person:"Hounyo, Ulrich"
~subject:"Bootstrap approach"
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Bootstrap approach
Bootstrap-Verfahren
4
Volatility
4
Volatilität
4
High-frequency data
3
Time series analysis
3
Zeitreihenanalyse
3
Bootstrap
2
Börsenkurs
2
Estimation
2
Estimation theory
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Jumps
2
Market microstructure
2
Marktmikrostruktur
2
Schätztheorie
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Schätzung
2
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2
Stochastic process
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Stochastischer Prozess
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Bipower variation
1
Block bootstrap
1
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1
Capital income
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Diurnal variation
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Integrated covariance
1
Kapitaleinkommen
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Korrelation
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Market microstructure noise
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Martingal
1
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Nichtparametrisches Verfahren
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Noise Trading
1
Noise trading
1
Non-stationary stochastic volatility
1
Non-synchronous data
1
Nonparametric statistics
1
Pre-averaging
1
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Chen, Rui
Georgiev, Iliyan
Hounyo, Ulrich
Cavaliere, Giuseppe
5
Rahbek, Anders
3
Taylor, Robert
3
Boswijk, Herman Peter
2
Gonçalves, Sílvia
2
Podolskij, Mark
2
Bohn Nielsen, Heino
1
Bouezmarni, Taoufik
1
Brüggemann, Ralf
1
Christensen, Kim
1
Davis, Richard A.
1
Dette, Holger
1
Dovonon, Prosper
1
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1
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1
Escanciano, J. Carlos
1
Franke, Jürgen
1
Hwang, Eunju
1
Härdle, Wolfgang
1
Jentsch, Carsten
1
Kilian, Lutz
1
Li, Jia
1
Meddahi, Nour
1
Neumann, Michael H.
1
Nielsen, Morten Ørregaard
1
Pedersen, Rasmus Søndergaard
1
Segers, Johan
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Shin, Dong-wan
1
Stockis, Jean-Pierre
1
Taamouti, Abderrahim
1
Tauchen, George Eugene
1
Todorov, Viktor
1
Trenkler, Carsten
1
Wang, Bin
1
Warchoł, Michał
1
Zheng, Xu
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
CREATES research paper
3
Econometric theory
2
IDEI working papers
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
2
Working papers / TSE : WP
2
Discussion paper / Tinbergen Institute
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quantitative economics : QE ; journal of the Econometric Society
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The econometrics journal
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Tinbergen Institute Discussion Paper 2019-083/III
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ECONIS (ZBW)
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Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
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2
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
3
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
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