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isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Li, Jia"
~source:"econis"
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Volatility
7
Volatilität
7
Estimation theory
6
Schätztheorie
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Time series analysis
6
Zeitreihenanalyse
6
Börsenkurs
5
Estimation
5
Schätzung
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Share price
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Martingal
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Martingale
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Stochastic process
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Stochastic volatility
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Stochastischer Prozess
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Adaptive estimation
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Beta
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Beta risk
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Betafaktor
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Capital income
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Jumps
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Li, Jia
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
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Shephard, Neil G.
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Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
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Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
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Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
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Christensen, Kim
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Clark, Todd E.
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Journal of econometrics
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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Quantitative economics : QE ; journal of the Econometric Society
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CREATES research paper
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Cowles Foundation discussion paper
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Finance research letters
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The review of economic studies
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ECONIS (ZBW)
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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
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
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
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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