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isPartOf:"Journal of econometrics"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of international money and finance"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Aït-Sahalia, Yacine"
~person:"Li, Yingying"
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Search: subject_exact:"Volatility"
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Volatility
16
Volatilität
16
Estimation theory
8
Market microstructure
8
Marktmikrostruktur
8
Schätztheorie
8
Noise Trading
7
Noise trading
7
Estimation
6
Market microstructure noise
6
Schätzung
6
Theorie
6
Theory
6
Time series analysis
6
Zeitreihenanalyse
6
Capital income
5
Kapitaleinkommen
5
Börsenkurs
4
CAPM
4
Share price
4
High frequency data
3
High-frequency data
3
Integrated volatility
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Realized volatility
3
Stochastic process
3
Stochastischer Prozess
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ARCH model
2
ARCH-Modell
2
Factor analysis
2
Faktorenanalyse
2
Forecasting model
2
Jumps
2
Option pricing theory
2
Optionspreistheorie
2
Prognoseverfahren
2
Stochastic volatility
2
Swap
2
Ankündigungseffekt
1
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16
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Aït-Sahalia, Yacine
Li, Yingying
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
McAleer, Michael
14
Andersen, Torben
12
Bouri, Elie
12
Ma, Feng
10
Meddahi, Nour
8
Xiu, Dacheng
8
Ghysels, Eric
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Asai, Manabu
6
Brooks, Robert
6
Cavaliere, Giuseppe
6
Corbet, Shaen
6
Floros, Christos
6
Kim, Donggyu
6
Lau, Chi Keung
6
Shephard, Neil G.
6
Xiong, Xiong
6
Brzeszczyński, Janusz
5
Caporale, Guglielmo Maria
5
Choudhry, Taufiq
5
Degiannakis, Stavros
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Guesmi, Khaled
5
Gupta, Rangan
5
Hallin, Marc
5
Li, Yan
5
Roubaud, David
5
Sensoy, Ahmet
5
Taylor, Robert
5
Yarovaya, Larisa
5
Zhou, Hao
5
Barigozzi, Matteo
4
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Journal of econometrics
International review of financial analysis
Journal of international money and finance
Journal of risk and financial management : JRFM
Working paper / National Bureau of Economic Research, Inc.
8
NBER working paper series
5
Journal of financial economics
3
Introductory Chapters
2
Journal of the American Statistical Association : JASA
2
CEA_372Cass working paper series
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics Books / Princeton University Press
1
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1
HKUST Business School Research Paper
1
Handbook of financial time series
1
Handbooks in finance
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The review of financial studies
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ECONIS (ZBW)
16
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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
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
4
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
5
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
6
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
7
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
8
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:
9
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:
10
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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