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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Lucas, André"
~person:"Mykland, Per A."
~person:"Rodriguez, Gabriel"
~person:"Spokojnyj, Vladimir G."
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
20
Schätztheorie
20
Volatilität
14
Time series analysis
11
Zeitreihenanalyse
11
Capital income
8
Estimation
8
Kapitaleinkommen
8
Schätzung
8
Market microstructure
7
Marktmikrostruktur
7
Börsenkurs
6
Share price
6
Stochastic process
5
Stochastischer Prozess
5
ARCH model
4
ARCH-Modell
4
Asynchronous times
4
Consistency
4
High-frequency data
4
Microstructure
4
Noise Trading
4
Noise trading
4
Robust statistics
4
Robustes Verfahren
4
Bayes-Statistik
3
Bayesian inference
3
Discrete observation
3
Forecasting model
3
Leverage effect
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Prognoseverfahren
3
Realized volatility
3
Robust estimation
3
Asymptotic normality
2
Correlation
2
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2
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2
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English
14
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Bollerslev, Tim
Lucas, André
Mykland, Per A.
Rodriguez, Gabriel
Spokojnyj, Vladimir G.
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Kim, Donggyu
6
Li, Yingying
6
Tauchen, George Eugene
6
Andersen, Torben
5
Francq, Christian
5
Liu, Zhi
5
Maheswaran, S.
5
Mancino, Maria Elvira
4
Sentana, Enrique
4
Sucarrat, Genaro
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Amengual, Dante
3
Bauwens, Luc
3
Buccheri, Giuseppe
3
Clements, Adam
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
3
Kömm, Holger
3
Lee, Kyungsub
3
Li, Wai Keung
3
Liu, Guangying
3
Otranto, Edoardo
3
Park, Joon Y.
3
Potiron, Yoann
3
Song, Yuping
3
Teräsvirta, Timo
3
Varneskov, Rasmus Tangsgaard
3
Wang, Bin
3
Yang, Xiye
3
Zakoïan, Jean-Michel
3
Zhang, Zhiyuan
3
Zheng, Xinghua
3
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic modelling
1
International journal of forecasting
1
Journal of financial econometrics
1
Review of Pacific Basin financial markets and policies
1
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ECONIS (ZBW)
14
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1
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
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
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:
4
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
5
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
6
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
7
Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy
;
Rodriguez, Gabriel
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
1
,
pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
Saved in:
8
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:
9
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
10
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
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