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isPartOf:"Journal of econometrics"
~isPartOf:"IMF working papers"
~isPartOf:"International journal of finance & economics : IJFE"
~person:"Cavaliere, Giuseppe"
~person:"Li, Jia"
~subject:"Finanzmarkt"
~subject:"Volatility"
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Finanzmarkt
Volatility
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13
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8
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8
Estimation theory
7
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7
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6
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Cavaliere, Giuseppe
Li, Jia
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Ma, Feng
7
Mykland, Per A.
7
Patton, Andrew J.
7
Arezki, Rabah
6
Asai, Manabu
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Liang, Chao
5
Liang, Hong
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Gallo, Giampiero M.
4
Jasiak, Joann
4
Kanas, Angelos
4
Li, Xiafei
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
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4
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4
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Journal of econometrics
IMF working papers
International journal of finance & economics : IJFE
Econometric reviews
4
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4
Discussion papers / Department of Economics, University of Copenhagen
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
CREATES research paper
2
Chicago Booth Research Paper
2
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ECONIS (ZBW)
13
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
4
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
Saved in:
5
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
6
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
7
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:
8
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
9
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
10
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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