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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of econometrics"
~person:"Alizadeh, Sassan"
~person:"Fernández-Villaverde, Jesús"
~person:"Mykland, Per A."
~subject:"Kapitaleinkommen"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatilität
Kapitaleinkommen
Time series analysis
Estimation theory
8
Schätztheorie
8
Volatility
5
Microstructure
4
Asynchronous times
3
Capital income
3
Consistency
3
Discrete observation
3
Leverage effect
3
Market microstructure
3
Marktmikrostruktur
3
Robust estimation
3
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2
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Time
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Two scales estimation
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Bayesian methods
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Corsi, Fulvio
Alizadeh, Sassan
Fernández-Villaverde, Jesús
Mykland, Per A.
Phillips, Peter C. B.
11
Taylor, Robert
11
Todorov, Viktor
10
Linton, Oliver
9
Andersen, Torben
7
Francq, Christian
7
Leybourne, Stephen James
7
Li, Jia
7
Tauchen, George Eugene
7
Li, Yingying
6
Xiao, Zhijie
6
Zakoïan, Jean-Michel
6
Zhu, Ke
6
Aït-Sahalia, Yacine
5
Chen, Xiaohong
5
Davis, Richard A.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Robinson, Peter M.
5
Bollerslev, Tim
4
Chambers, Marcus J.
4
Demetrescu, Matei
4
Harvey, David I.
4
Li, Degui
4
Li, Dong
4
Li, Qi
4
Ng, Serena
4
Park, Joon Y.
4
Rodrigues, Paulo M. M.
4
Sun, Yixiao
4
Varneskov, Rasmus Tangsgaard
4
Xiu, Dacheng
4
Zhang, Lan
4
Zheng, Xinghua
4
Baillie, Richard
3
Baltagi, Badi H.
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
NBER Working Paper
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
NBER working paper series
2
Working paper / National Bureau of Economic Research, Inc.
2
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2
Discussion paper / Centre for Economic Policy Research
1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics
1
Financial Institutions Center
1
Global COE Hi-Stat discussion paper series
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International journal of forecasting
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Quaderni del Dipartimento di economia politica e statistica
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SFB 649 discussion paper
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús
;
Guerrón-Quintana, Pablo A.
- In:
Journal of econometrics
185
(
2015
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
Saved in:
6
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
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