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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Chen, Yi-ting"
~person:"Engle, Robert F."
~person:"Li, Yingying"
~person:"Taniguchi, Masanobu"
~subject:"Time series analysis"
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Volatility
Time series analysis
Estimation theory
7
Schätztheorie
7
Zeitreihenanalyse
4
ARCH model
3
ARCH-Modell
3
Capital income
2
Estimation
2
Kapitaleinkommen
2
Market microstructure
2
Marktmikrostruktur
2
Schätzung
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Volatilität
2
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1
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1
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Dauer
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Gaussian QML method
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Method of moments
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Noise Trading
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Noise trading
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OptEF method
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Chen, Yi-ting
Engle, Robert F.
Li, Yingying
Taniguchi, Masanobu
Corsi, Fulvio
2
Frederiksen, Per
2
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Candelon, Bertrand
1
Carrasco, Marine
1
Christensen, Kim
1
Colletaz, Gilbert
1
Di, Jianing
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Gonzalo, Jesús
1
Gregory, Allan W.
1
Hassler, Uwe
1
Herwartz, Helmut
1
Hill, Jonathan B.
1
Horváth, Lajos
1
Hsieh, Chih-sheng
1
Hurlin, Christophe
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Kokoszka, Piotr
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Lv, Jinchi
1
Miao, Hong
1
Mira, Antonietta
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Department of Economics, University of California San Diego
8
Journal of econometrics
6
Advanced texts in econometrics
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
NBER working paper series
2
Working paper / National Bureau of Economic Research, Inc.
2
Handbook of econometrics : volume 4
1
Handbook of econometrics ; Vol. 4
1
Journal of applied econometrics
1
Model reliability
1
NBER Working Paper
1
NYU Stern School of Business
1
Working paper series economics and econometrics
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1
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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2
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:
3
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:
4
Generalized moment tests for autoregressive conditional duration models
Chen, Yi-ting
;
Hsieh, Chih-sheng
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 345-391
Persistent link: https://www.econbiz.de/10003997409
Saved in:
5
Reminiscing on the 1984 NSF-NBER time series meeting at UC Davis
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
2
,
pp. 158-159
Persistent link: https://www.econbiz.de/10008652248
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