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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:"Schätzung"
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Search: subject_exact:"Volatility"
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Finanzmarkt
Noise Trading
Schätzung
Volatility
23
Volatilität
23
Estimation theory
10
Market microstructure
10
Marktmikrostruktur
10
Schätztheorie
10
Noise trading
9
Estimation
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
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Forecasting model
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Prognoseverfahren
5
Stochastic process
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Stochastischer Prozess
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ARCH model
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ARCH-Modell
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High frequency data
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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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English
16
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Archakov, Ilya
Aït-Sahalia, Yacine
Ghysels, Eric
Li, Yingying
Todorov, Viktor
13
Bollerslev, Tim
10
Tauchen, George Eugene
9
Andersen, Torben
7
Kim, Donggyu
5
Li, Jia
5
Xiu, Dacheng
4
Christensen, Kim
3
Francq, Christian
3
McAleer, Michael
3
Patton, Andrew J.
3
Wang, Yazhen
3
Yang, Xiye
3
Zakoïan, Jean-Michel
3
Zhou, Hao
3
Asai, Manabu
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Boswijk, Herman Peter
2
Clinet, Simon
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Hallin, Marc
2
Harvey, Andrew C.
2
Hounyo, Ulrich
2
Kong, Xin-Bing
2
Laeven, Roger J. A.
2
Meddahi, Nour
2
Mykland, Per A.
2
Paolella, Marc S.
2
Park, Joon Y.
2
Podolskij, Mark
2
Polak, Pawel
2
Potiron, Yoann
2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
8
Journal of financial economics
3
NBER working paper series
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
NBER Working Paper
2
Research paper series / Swiss Finance Institute
2
CEA_372Cass working paper series
1
CORE discussion paper : DP
1
Discussion paper / Centre for Economic Policy Research
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of economic literature
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Swiss Finance Institute Research Paper
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
1
Working paper / Department of Economics, University of Cyprus
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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
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
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
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
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
7
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
8
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:
9
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:
10
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
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