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isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Gouriéroux, Christian"
~person:"Li, Yingying"
~subject:"Time series analysis"
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Search: subject_exact:"Volatility"
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Time series analysis
Volatility
11
Volatilität
11
Estimation theory
7
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Zeitreihenanalyse
6
Market microstructure
5
Marktmikrostruktur
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Noise Trading
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Market microstructure noise
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Integrated volatility
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Nichtparametrisches Verfahren
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Nonparametric statistics
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ARCH-Modell
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Gouriéroux, Christian
Li, Yingying
Todorov, Viktor
7
Andersen, Torben
6
Li, Jia
6
Bollerslev, Tim
5
Kim, Donggyu
5
Tauchen, George Eugene
5
Hallin, Marc
4
McAleer, Michael
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Fan, Jianqing
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Chan, Joshua
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Christensen, Kim
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Clinet, Simon
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Ergemen, Yunus Emre
2
Francq, Christian
2
Hounyo, Ulrich
2
Li, Guodong
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Li, Wai Keung
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Liu, Zhi
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Meddahi, Nour
2
Medeiros, Marcelo C.
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Mykland, Per A.
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Petrova, Katerina
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
Série des documents de travail
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
HKUST Business School Research Paper
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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ECONIS (ZBW)
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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
Stationary bubble equilibria in rational expectation models
Gouriéroux, Christian
;
Jasiak, Joann
;
Monfort, Alain
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 714-735
Persistent link: https://www.econbiz.de/10012483178
Saved in:
4
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:
5
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:
6
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
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