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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Mykland, Per A."
~person:"Spokojnyj, Vladimir G."
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
39
Schätztheorie
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13
Time series analysis
12
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9
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9
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7
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Bollerslev, Tim
Mykland, Per A.
Spokojnyj, Vladimir G.
Phillips, Peter C. B.
30
Harvey, Andrew C.
18
Leybourne, Stephen James
18
Teräsvirta, Timo
18
Linton, Oliver
17
Johansen, Søren
16
Kumar, Dilip
16
Taylor, Robert
16
Gao, Jiti
15
Lütkepohl, Helmut
15
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14
Maheswaran, S.
14
Ghysels, Eric
13
Hassler, Uwe
13
Koopman, Siem Jan
13
Perron, Pierre
13
Tauchen, George Eugene
13
Li, Jia
12
Todorov, Viktor
12
Francq, Christian
11
Hafner, Christian M.
11
Hendry, David F.
11
Mills, Terence C.
11
Nelson, Daniel B.
11
Robinson, Peter M.
11
Xiao, Zhijie
11
Zakoïan, Jean-Michel
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Engle, Robert F.
10
Koop, Gary
10
Lucas, André
10
McAleer, Michael
10
Chan, Ngai Hang
9
Chen, Xiaohong
9
Fan, Jianqing
9
Franses, Philip Hans
9
Granger, C. W. J.
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9
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4
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2
Applied quantitative finance
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Handbook of econometrics : volume 4
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The review of economics and statistics
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ECONIS (ZBW)
21
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1
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:
2
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:
3
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:
4
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:
5
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:
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
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:
8
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
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
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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