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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Li, Yingying"
~person:"Rodrigues, Paulo M. M."
~person:"Spokojnyj, Vladimir G."
~person:"Taniguchi, Masanobu"
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Volatility
Estimation theory
6
Schätztheorie
6
Volatilität
5
Time series analysis
4
Zeitreihenanalyse
4
Market microstructure
3
Marktmikrostruktur
3
Börsenkurs
2
Noise Trading
2
Noise trading
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Share price
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Theorie
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Theory
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Autocorrelation
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Autokorrelation
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Capital income
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Estimation
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Lagrange multiplier
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Market microstructure noise
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Multivariate Analyse
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Multivariate analysis
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätzung
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Statistical error
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Statistical test
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autocorrelation
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Li, Yingying
Rodrigues, Paulo M. M.
Spokojnyj, Vladimir G.
Taniguchi, Masanobu
Li, Jia
2
Mykland, Per A.
2
Andreou, Alena
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Fan, Jianqing
1
Fan, Yingying
1
Foster, Dean P.
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Hansen, Bruce E.
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Jacod, Jean
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Lv, Jinchi
1
Moura, Guilherme Valle
1
Nagakura, Daisuke
1
Nelson, Daniel B.
1
Nielsen, Morten Ørregaard
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Nogales, Francisco J.
1
Rubia, Antonio
1
Sakata, Shinichi
1
Santos, André A. P.
1
Suto, Nobuyuki
1
Taniai, Hiroyuki
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Discussion papers of interdisciplinary research project 373
2
Applied quantitative finance
1
Handbook of financial time series
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
1
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1
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
2
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
3
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
4
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
5
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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