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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of econometrics"
~person:"Li, Yingying"
~person:"Spokojnyj, Vladimir G."
~person:"Todorov, Viktor"
~subject:"High dimension"
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Search: subject_exact:"Estimation theory"
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Volatilität
High dimension
Estimation theory
16
Schätztheorie
16
Volatility
14
Time series analysis
10
Zeitreihenanalyse
10
Estimation
9
Schätzung
9
Börsenkurs
7
Share price
7
Stochastic process
7
Stochastischer Prozess
7
Capital income
6
High-frequency data
6
Kapitaleinkommen
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
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Noise trading
5
Stochastic volatility
5
High frequency data
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Market microstructure noise
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Induktive Statistik
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Integrated volatility
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Martingal
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Martingale
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Option pricing theory
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Options
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Optionspreistheorie
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Semimartingale
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Statistical inference
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ARCH model
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ARCH-Modell
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Adaptive estimation
2
Analysis of variance
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Beta
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Corsi, Fulvio
Li, Yingying
Spokojnyj, Vladimir G.
Todorov, Viktor
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Zheng, Xinghua
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Guodong
2
Li, Wai Keung
2
Patton, Andrew J.
2
Potiron, Yoann
2
Wang, Bin
2
Xiu, Dacheng
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xu
2
Zhu, Ke
2
Zu, Yang
2
Ahn, Dong-Hyun
1
Ahsan, Nazmul
1
Amengual, Dante
1
Andreou, Elena
1
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
ERID working paper
3
Discussion papers of interdisciplinary research project 373
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Applied quantitative finance
1
CREATES research paper
1
Econometric theory
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
1
Quaderni del Dipartimento di economia politica e statistica
1
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
16
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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
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
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:
4
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:
5
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
6
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
7
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
8
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
9
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
10
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
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