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isPartOf:"Journal of econometrics"
~isPartOf:"International review of financial analysis"
~person:"Li, Jia"
~person:"Zhang, Lan"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Volatility"
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Estimation theory
Statistische Verteilung
Volatility
10
Volatilität
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Schätztheorie
9
Börsenkurs
6
Share price
6
Time series analysis
6
Zeitreihenanalyse
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Estimation
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High-frequency data
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Li, Jia
Zhang, Lan
Todorov, Viktor
12
Tauchen, George Eugene
7
Andersen, Torben
6
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
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Aït-Sahalia, Yacine
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Gouriéroux, Christian
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Jasiak, Joann
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Meddahi, Nour
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Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zhu, Ke
3
Bandi, Federico M.
2
Clinet, Simon
2
Corradi, Valentina
2
Dalderop, Jeroen
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Harvey, Andrew C.
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Guodong
2
Li, Wai Keung
2
Maheu, John M.
2
Paolella, Marc S.
2
Patton, Andrew J.
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Polak, Pawel
2
Potiron, Yoann
2
Swanson, Norman R.
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Journal of econometrics
International review of financial analysis
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Chicago Booth Research Paper
2
Econometric theory
2
Cowles Foundation discussion paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
9
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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
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:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
5
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:
6
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:
7
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:
8
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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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