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isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Li, Yingying"
~person:"Meddahi, Nour"
~subject:"Schätzung"
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Search: subject_exact:"Volatility"
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Schätzung
Volatility
14
Volatilität
14
Estimation theory
8
Schätztheorie
8
Capital income
7
Kapitaleinkommen
7
Market microstructure
7
Marktmikrostruktur
7
Noise Trading
7
Noise trading
7
Time series analysis
7
Zeitreihenanalyse
7
Market microstructure noise
4
ARCH model
3
ARCH-Modell
3
Estimation
3
High frequency data
3
High-frequency data
3
Integrated volatility
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Theorie
3
Theory
3
Börsenkurs
2
Forecasting model
2
Measurement
2
Messung
2
Microstructure noise
2
Prognoseverfahren
2
Realized volatility
2
Share price
2
Statistical distribution
2
Statistische Verteilung
2
Aggregation
1
Ausreißer
1
Autoregression
1
Bootstrap approach
1
Bootstrap-Verfahren
1
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Li, Yingying
Meddahi, Nour
Todorov, Viktor
13
Bollerslev, Tim
10
Andersen, Torben
8
Tauchen, George Eugene
7
Aït-Sahalia, Yacine
6
Engle, Robert F.
5
Kim, Donggyu
5
Li, Jia
5
Kelly, Bryan T.
4
Aghion, Philippe
3
Bates, David S.
3
Creal, Drew
3
Francq, Christian
3
Gallo, Giampiero M.
3
Ghysels, Eric
3
Lettau, Martin
3
McAleer, Michael
3
Moffitt, Robert A.
3
Patton, Andrew J.
3
Wang, Yazhen
3
Wu, Jing Cynthia
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Asai, Manabu
2
Bacchetta, Philippe
2
Barigozzi, Matteo
2
Bartram, Söhnke M.
2
Bekaert, Geert
2
Ben-David, Itzhak
2
Bianchi, Francesco
2
Bibinger, Markus
2
Brown, Gregory W.
2
Campbell, John Y.
2
Christensen, Kim
2
Edwards, Sebastian
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Fernández-Villaverde, Jesús
2
Forbes, Kristin
2
Franzoni, Francesco
2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
AFA 2013 San Diego Meetings Paper
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
IDEI working papers
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Staff working paper / Bank of Canada
1
Working papers / TSE : WP
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ECONIS (ZBW)
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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
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
3
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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