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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Mykland, Per A."
~person:"Wang, Hansheng"
~subject:"Autocorrelation"
~subject:"CAPM"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
CAPM
Estimation theory
46
Schätztheorie
46
Volatilität
12
Regression analysis
10
Regressionsanalyse
10
Market microstructure
9
Marktmikrostruktur
9
Theorie
9
Theory
9
Estimation
8
Schätzung
8
Autokorrelation
7
Capital income
7
Kapitaleinkommen
7
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7
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7
Börsenkurs
5
Sampling
5
Share price
5
Stichprobenerhebung
5
Asynchronous times
4
High-frequency data
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Microstructure
4
Noise Trading
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Noise trading
4
Robust statistics
4
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ARCH model
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20
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Bollerslev, Tim
Mykland, Per A.
Wang, Hansheng
Lee, Lung-fei
28
Kumar, Dilip
16
Maheswaran, S.
15
Tauchen, George Eugene
12
Todorov, Viktor
12
Jin, Fei
11
Li, Jia
11
Sun, Yixiao
10
Teräsvirta, Timo
10
Francq, Christian
9
Baltagi, Badi H.
8
Cavaliere, Giuseppe
8
Andersen, Torben
7
Ghysels, Eric
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Zakoïan, Jean-Michel
7
Hafner, Christian M.
6
Kan, Raymond
6
Koopman, Siem Jan
6
McAleer, Michael
6
Phillips, Peter C. B.
6
Sun, Yiguo
6
Wang, Yazhen
6
Aït-Sahalia, Yacine
5
Fan, Jianqing
5
Jing, Bingyi
5
Kristensen, Dennis
5
Li, Dong
5
Liu, Long
5
Liu, Xiaodong
5
Okui, Ryo
5
Prucha, Ingmar R.
5
Renault, Eric
5
Shin, Dong-wan
5
Su, Liangjun
5
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Journal of econometrics
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of political economy
1
The review of economics and statistics
1
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ECONIS (ZBW)
20
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1
Sparse spatio-temporal autoregressions by profiling and bagging
Ma, Yingying
;
Shaojun, Guo
;
Wang, Hansheng
- In:
Journal of econometrics
232
(
2023
)
1
,
pp. 132-147
Persistent link: https://www.econbiz.de/10013472867
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2
Autoregressive model with spatial dependence and missing data
Zhou, Jing
;
Liu, Jin
;
Wang, Feifei
;
Wang, Hansheng
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 28-34
Persistent link: https://www.econbiz.de/10012804080
Saved in:
3
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:
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
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:
6
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:
7
Multivariate spatial autoregressive model for large scale social networks
Zhu, Xuening
;
Huang, Danyang
;
Pan, Rui
;
Wang, Hansheng
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 591-606
Persistent link: https://www.econbiz.de/10012439571
Saved in:
8
Two-mode network autoregressive model for large-scale networks
Huang, Danyang
;
Wang, Feifei
;
Zhu, Xuening
;
Wang, Hansheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 203-219
Persistent link: https://www.econbiz.de/10012439675
Saved in:
9
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:
10
Banded spatio-temporal autoregressions
Gao, Zhaoxing
;
Ma, Yingying
;
Wang, Hansheng
;
Yao, Qiwei
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 211-230
Persistent link: https://www.econbiz.de/10012139832
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