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person:"Cornwell, Christopher Mark"
subject:"United States"
~person:"Todorov, Viktor"
~subject:"Effizienz"
~subject:"Humankapital"
~subject:"Kriminalität"
~subject:"Schätzung"
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Estimation theory
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19
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19
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17
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12
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12
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Cornwell, Christopher Mark
Todorov, Viktor
Pesaran, M. Hashem
44
Gao, Jiti
41
Linton, Oliver
32
Kapetanios, George
30
Heckman, James J.
28
Diebold, Francis X.
26
Cai, Zongwu
23
Kumbhakar, Subal
21
Koop, Gary
20
Marcellino, Massimiliano
20
Hsu, Yu-Chin
19
Phillips, Peter C. B.
19
Winkelmann, Rainer
19
Baltagi, Badi H.
18
Härdle, Wolfgang
17
Tauchen, George Eugene
17
Angrist, Joshua D.
16
Chudik, Alexander
16
Hsiao, Cheng
16
Lütkepohl, Helmut
16
Hoderlein, Stefan
15
Koopman, Siem Jan
15
Lechner, Michael
15
Su, Liangjun
15
Jochmans, Koen
14
Kim, Donggyu
14
Pei, Zhuan
14
Schorfheide, Frank
14
Swanson, Norman R.
14
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13
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13
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13
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12
Stock, James H.
12
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12
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11
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11
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8
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ECONIS (ZBW)
19
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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
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
3
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
4
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
5
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
6
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
7
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
8
Volatility Activity : Specification and Estimation
Todorov, Viktor
-
2011
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods to...
Persistent link: https://www.econbiz.de/10013119659
Saved in:
9
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
10
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
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