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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Andersen, Torben"
~person:"Maheswaran, S."
~subject:"Autokorrelation"
~subject:"Nonparametric statistics"
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Search: subject_exact:"Estimation theory"
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Volatility
Autokorrelation
Nonparametric statistics
Estimation theory
20
Schätztheorie
20
Volatilität
14
Capital income
10
Kapitaleinkommen
10
Time series analysis
9
Zeitreihenanalyse
9
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6
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6
Estimation
5
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Stochastic process
5
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Noise Trading
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Random Walk
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Random walk
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Bollerslev, Tim
Andersen, Torben
Maheswaran, S.
Lee, Lung-fei
16
Linton, Oliver
15
Gao, Jiti
12
Parmeter, Christopher F.
12
Tsionas, Efthymios G.
12
Cai, Zongwu
11
Kumbhakar, Subal
11
Li, Degui
11
Li, Qi
11
Todorov, Viktor
10
Jin, Fei
9
Kumar, Dilip
9
Li, Jia
9
Su, Liangjun
9
Sun, Yiguo
9
Escanciano, Juan Carlos
8
Florens, Jean-Pierre
8
Racine, Jeffrey
8
Robinson, Peter M.
8
Breunig, Christoph
7
Chen, Songnian
7
Tu, Yundong
7
Chen, Xiaohong
6
Henderson, Daniel J.
6
Hu, Yingyao
6
Kim, Donggyu
6
Kim, Kyoo Il
6
Lewbel, Arthur
6
Li, Dong
6
Li, Yingying
6
Mykland, Per A.
6
Sasaki, Yuya
6
Sun, Yixiao
6
Tauchen, George Eugene
6
Teräsvirta, Timo
6
Ullah, Aman
6
Wang, Hansheng
6
Yu, Zhengfei
6
Zhang, Xibin
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Journal of econometrics
8
Journal of quantitative economics
2
Financial markets and portfolio management
1
IIMB management review
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
15
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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
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
4
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:
5
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:
6
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
7
A study of excess volatility of gold and silver
Kayal, Parthajit
;
Maheswaran, S.
- In:
IIMB management review
33
(
2021
)
2
,
pp. 133-145
Persistent link: https://www.econbiz.de/10013205212
Saved in:
8
A new unbiased additive robust volatility estimation using extreme values of asset prices
Shaik, Muneer
;
Maheswaran, S.
- In:
Financial markets and portfolio management
34
(
2020
)
3
,
pp. 313-347
Persistent link: https://www.econbiz.de/10012289673
Saved in:
9
Robust volatility estimation with and without the drift parameter
Shaik, Muneer
;
Maheswaran, S.
- In:
Journal of quantitative economics
17
(
2019
)
1
,
pp. 57-91
Persistent link: https://www.econbiz.de/10012418637
Saved in:
10
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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