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isPartOf:"Journal of econometrics"
~person:"Archakov, Ilya"
~person:"Aït-Sahalia, Yacine"
~person:"Ghysels, Eric"
~person:"Li, Yingying"
~subject:"Finanzmarkt"
~subject:"Noise Trading"
~subject:"Schätztheorie"
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Search: subject_exact:"Volatility"
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Finanzmarkt
Noise Trading
Schätztheorie
Volatility
23
Volatilität
23
Estimation theory
10
Market microstructure
10
Marktmikrostruktur
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
Stochastischer Prozess
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
Jumps
2
Liquidity
2
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12
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12
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English
12
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Archakov, Ilya
Aït-Sahalia, Yacine
Ghysels, Eric
Li, Yingying
Todorov, Viktor
10
Tauchen, George Eugene
9
Andersen, Torben
8
Li, Jia
6
Bollerslev, Tim
5
Kim, Donggyu
5
Mykland, Per A.
5
Francq, Christian
4
Meddahi, Nour
4
Zakoïan, Jean-Michel
4
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Yang, Xiye
3
Zhang, Lan
3
Barigozzi, Matteo
2
Boswijk, Herman Peter
2
Christensen, Kim
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Laeven, Roger J. A.
2
Li, Guodong
2
Li, Wai Keung
2
Patton, Andrew J.
2
Potiron, Yoann
2
Wang, Bin
2
Xiu, Dacheng
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of financial economics
2
NBER working paper series
2
Discussion paper / Centre for Economic Policy Research
1
Econometric analysis of financial and economic time series ; part a
1
Econometric theory
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 the American Statistical Association : JASA
1
NBER Working Paper
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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ECONIS (ZBW)
12
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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
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
10
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:
1
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