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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Mykland, Per A."
~subject:"Autocorrelation"
~subject:"CAPM"
~subject:"Theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
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Estimation theory
29
Schätztheorie
29
Volatilität
12
Market microstructure
9
Marktmikrostruktur
9
Theorie
9
Capital income
7
Kapitaleinkommen
7
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7
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7
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6
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6
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Bollerslev, Tim
Mykland, Per A.
Lee, Lung-fei
44
Phillips, Peter C. B.
34
Andrews, Donald W. K.
31
Baltagi, Badi H.
31
Newey, Whitney K.
27
Li, Qi
25
McAleer, Michael
25
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Krämer, Walter
20
Robinson, Peter M.
20
Giles, David E. A.
19
Ullah, Aman
19
Gouriéroux, Christian
18
Horowitz, Joel
18
King, Maxwell L.
18
Tauchen, George Eugene
17
Wooldridge, Jeffrey M.
17
Granger, C. W. J.
16
Kumar, Dilip
16
Srivastava, Virendra K.
16
Bera, Anil K.
15
Ghysels, Eric
15
Hahn, Jinyong
15
Kelejian, Harry H.
15
Linton, Oliver
15
Maheswaran, S.
15
Schmidt, Peter
15
Teräsvirta, Timo
15
Zakoïan, Jean-Michel
15
Bai, Jushan
13
Dufour, Jean-Marie
13
Godfrey, L. G.
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Rilstone, Paul
13
Smith, Richard J.
13
Baillie, Richard
12
Fan, Yanqin
12
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Econometric reviews
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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1
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1
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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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