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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~language:"eng"
~person:"Li, Yingying"
~subject:"HAR"
~subject:"Time series analysis"
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Volatility
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Estimation theory
13
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10
Market microstructure
8
Marktmikrostruktur
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Bollerslev, Tim
Li, Yingying
Gao, Jiti
10
Li, Jia
10
Phillips, Peter C. B.
10
Todorov, Viktor
10
Kumar, Dilip
9
Zhu, Ke
9
Francq, Christian
8
Linton, Oliver
8
Demetrescu, Matei
7
Kapetanios, George
7
Koopman, Siem Jan
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Kim, Donggyu
6
Li, Degui
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Bauwens, Luc
5
Blasques, Francisco
5
Cavaliere, Giuseppe
5
Davis, Richard A.
5
Dong, Chaohua
5
Li, Dong
5
Liu, Zhi
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Maheswaran, S.
5
Omay, Tolga
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Poskitt, Donald Stephen
5
Sentana, Enrique
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Sucarrat, Genaro
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Journal of econometrics
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of econometrics : volume 4
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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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
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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
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:
9
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
10
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:
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