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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of international money and finance"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Aït-Sahalia, Yacine"
~person:"Li, Jia"
~subject:"Börsenkurs"
~subject:"Spillover effect"
~subject:"Spillover-Effekt"
~subject:"Welt"
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Search: subject_exact:"Volatility"
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Börsenkurs
Spillover effect
Spillover-Effekt
Welt
Volatility
17
Volatilität
17
Estimation
9
Schätzung
9
Estimation theory
8
Schätztheorie
8
Share price
7
Theorie
7
Theory
7
Time series analysis
7
Zeitreihenanalyse
7
Stochastic process
6
Stochastischer Prozess
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CAPM
5
Capital income
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High-frequency data
5
Kapitaleinkommen
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Stochastic volatility
5
Jumps
4
Market microstructure
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Marktmikrostruktur
4
Beta risk
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Betafaktor
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Martingal
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Martingale
3
Nichtparametrisches Verfahren
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Noise Trading
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Noise trading
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Nonparametric statistics
3
Semimartingale
3
Adaptive estimation
2
Beta
2
Factor analysis
2
Faktorenanalyse
2
Forecasting model
2
Market microstructure noise
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Option pricing theory
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Optionspreistheorie
2
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Aït-Sahalia, Yacine
Li, Jia
Tauchen, George Eugene
8
Todorov, Viktor
8
McAleer, Michael
5
Bollerslev, Tim
4
Kim, Donggyu
4
Gallant, A. Ronald
3
Liesenfeld, Roman
3
Mykland, Per A.
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Wang, Yazhen
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Ali, Shoaib
2
Andersen, Torben
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Baur, Dirk G.
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Bekaert, Geert
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Bhatti, Muhammad Ishaq
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Caporin, Massimiliano
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Chang, Chia-Lin
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Chiang, Thomas C.
2
Christensen, Kim
2
Clinet, Simon
2
Demir, Ender
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Fatima, Sameen
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Francq, Christian
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Gan, Christopher
2
Ghysels, Eric
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Golosnoy, Vasyl
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Gribisch, Bastian
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Gupta, Rangan
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Hollstein, Fabian
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Hu, Baiding
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Kizys, Renatas
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Li, Jie
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Li, Yingying
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Neely, Christopher J.
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Potiron, Yoann
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Journal of econometrics
Journal of international money and finance
Journal of risk and financial management : JRFM
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 financial economics
2
NBER working paper series
2
Working paper / National Bureau of Economic Research, Inc.
2
CREATES research paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The review of economic studies
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ECONIS (ZBW)
7
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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
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:
4
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:
5
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:
6
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:
7
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
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