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isPartOf:"Journal of econometrics"
~person:"Archakov, Ilya"
~person:"Aït-Sahalia, Yacine"
~person:"Ghysels, Eric"
~person:"Li, Yingying"
~person:"Liu, Guangying"
~subject:"Noise Trading"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Noise Trading
Stochastischer Prozess
Volatility
23
Volatilität
23
Estimation theory
10
Market microstructure
10
Marktmikrostruktur
10
Schätztheorie
10
Noise trading
9
Estimation
8
Schätzung
8
Theorie
8
Theory
8
Market microstructure noise
7
Börsenkurs
6
Capital income
6
Kapitaleinkommen
6
Share price
6
Time series analysis
6
Zeitreihenanalyse
6
CAPM
5
Forecasting model
5
Prognoseverfahren
5
Stochastic process
4
ARCH model
3
ARCH-Modell
3
High frequency data
3
High-frequency data
3
Integrated volatility
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Option pricing theory
3
Optionspreistheorie
3
Realized volatility
3
Factor analysis
2
Faktorenanalyse
2
Financial market
2
Finanzmarkt
2
Jumps
2
Liquidity
2
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13
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Archakov, Ilya
Aït-Sahalia, Yacine
Ghysels, Eric
Li, Yingying
Liu, Guangying
Todorov, Viktor
12
Tauchen, George Eugene
8
Bollerslev, Tim
7
Andersen, Torben
6
McAleer, Michael
5
Asai, Manabu
4
Li, Jia
4
Xiu, Dacheng
4
Boswijk, Herman Peter
3
Carriero, Andrea
3
Clark, Todd E.
3
Marcellino, Massimiliano
3
Meddahi, Nour
3
Renò, Roberto
3
Shephard, Neil G.
3
Yu, Jun
3
Amengual, Dante
2
Bondarenko, Oleg
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Christensen, Kim
2
Clinet, Simon
2
Creal, Drew
2
Dufour, Jean-Marie
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Jensen, Mark J.
2
Kim, Donggyu
2
Laeven, Roger J. A.
2
Maheu, John M.
2
Mykland, Per A.
2
Park, Joon Y.
2
Poon, Aubrey
2
Potiron, Yoann
2
Renault, Eric
2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial economics
2
CORE discussion paper : DP
1
Cahier / Département 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
Handbooks in finance
1
Journal of economic literature
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
1
Quantitative finance
1
Research paper series / Swiss Finance Institute
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The review of financial studies
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ECONIS (ZBW)
13
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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
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
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:
4
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
5
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:
6
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:
7
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
8
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:
9
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:
10
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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