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isPartOf:"Statistical papers"
subject:"Theorie"
~isPartOf:"Journal of econometrics"
~person:"Ghysels, Eric"
~person:"Li, Yingying"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
Estimation theory
13
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6
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6
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5
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Ghysels, Eric
Li, Yingying
Phillips, Peter C. B.
16
Baltagi, Badi H.
11
Li, Qi
10
Linton, Oliver
10
Taylor, Robert
9
Gouriéroux, Christian
7
Leybourne, Stephen James
7
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7
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6
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6
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6
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6
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5
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5
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5
Davis, Richard A.
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5
Kim, Donggyu
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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
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:
3
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:
4
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:
5
Testing for Granger causality with mixed frequency data
Ghysels, Eric
;
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 207-230
Persistent link: https://www.econbiz.de/10011617146
Saved in:
6
The econometric analysis of mixed frequency data sampling
Ghysels, Eric
;
Marcellino, Massimiliano
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 291-293
Persistent link: https://www.econbiz.de/10011704880
Saved in:
7
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:
8
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
9
Predictive tests for structural change with unknown breakpoint
Ghysels, Eric
- In:
Journal of econometrics
82
(
1998
)
2
,
pp. 209-233
Persistent link: https://www.econbiz.de/10001234579
Saved in:
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