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isPartOf:"Journal of econometrics"
~isPartOf:"International journal of theoretical and applied finance"
~language:"eng"
~person:"Li, Jia"
~person:"Varneskov, Rasmus Tangsgaard"
~subject:"Schätztheorie"
~subject:"Stochastischer Prozess"
~subject:"USA"
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Search: subject_exact:"Volatility"
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Schätztheorie
Stochastischer Prozess
USA
Volatility
10
Volatilität
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Estimation theory
9
Time series analysis
8
Zeitreihenanalyse
8
Börsenkurs
5
Estimation
5
Schätzung
5
Share price
5
Stochastic process
5
Stochastic volatility
5
High-frequency data
4
Capital income
3
Induktive Statistik
3
Kapitaleinkommen
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Martingal
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Martingale
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Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Semimartingale
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Statistical inference
3
Statistical test
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Statistischer Test
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Adaptive estimation
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Beta
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Beta risk
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Betafaktor
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Forecasting model
2
Fractional integration
2
Frequency domain inference
2
Jumps
2
Prognoseverfahren
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Regression analysis
2
Regressionsanalyse
2
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2
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Li, Jia
Varneskov, Rasmus Tangsgaard
Todorov, Viktor
14
Tauchen, George Eugene
10
Bollerslev, Tim
9
Andersen, Torben
7
McAleer, Michael
6
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Li, Yingying
5
Xiu, Dacheng
5
Asai, Manabu
4
Francq, Christian
4
Gallant, A. Ronald
4
Meddahi, Nour
4
Mykland, Per A.
4
Shephard, Neil G.
4
Takahashi, Akihiko
4
Zakoïan, Jean-Michel
4
Benth, Fred Espen
3
Boswijk, Herman Peter
3
Carriero, Andrea
3
Clark, Todd E.
3
Engle, Robert F.
3
Forde, Martin
3
Gatheral, Jim
3
Ghysels, Eric
3
Liu, Rui Hua
3
Maheu, John M.
3
Marcellino, Massimiliano
3
Park, Joon Y.
3
Renò, Roberto
3
Swanson, Norman R.
3
Vives, Josep
3
Wang, Yazhen
3
Yu, Jun
3
Zhang, Lan
3
Zhou, Hao
3
Zubelli, Jorge P.
3
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2
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Journal of econometrics
International journal of theoretical and applied finance
Chicago Booth Research Paper
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Quantitative economics : QE ; journal of the Econometric Society
2
Cowles Foundation discussion paper
1
Quantitative finance
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The review of economic studies
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ECONIS (ZBW)
9
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1
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
2
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:
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
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
5
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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 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:
9
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
Saved in:
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