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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Liu, Zhi"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatilität
Marktmikrostruktur
Stochastischer Prozess
Volatility
Estimation theory
11
Schätztheorie
11
Estimation
7
Market microstructure
7
Schätzung
7
Time series analysis
7
Zeitreihenanalyse
7
Capital income
5
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Aktienindex
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Aktienmarkt
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Corsi, Fulvio
Liu, Zhi
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Teräsvirta, Timo
9
Francq, Christian
8
Mykland, Per A.
8
Andersen, Torben
7
Ghysels, Eric
7
Kim, Donggyu
7
Li, Yingying
7
Zakoïan, Jean-Michel
7
Hafner, Christian M.
6
Koopman, Siem Jan
6
Linton, Oliver
6
Phillips, Peter C. B.
6
Wang, Yazhen
6
Zhang, Lan
6
Aït-Sahalia, Yacine
5
Bollerslev, Tim
5
Fan, Jianqing
5
Hurn, Stan
5
Jing, Bingyi
5
Li, Dong
5
Mancino, Maria Elvira
5
McAleer, Michael
5
Park, Joon Y.
5
Russell, Jeffrey R.
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
Tsionas, Efthymios G.
5
Arnerić, Josip
4
Bandi, Federico M.
4
Bauwens, Luc
4
Cavaliere, Giuseppe
4
Clements, Adam
4
Cui, Zhenyu
4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Econometric theory
1
Finance and stochastics
1
International journal of forecasting
1
Journal of econometrics
1
Journal of financial econometrics
1
Journal of the American Statistical Association : JASA
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
11
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1
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
2
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
3
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
4
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
5
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
6
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
Saved in:
7
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
8
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
9
On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
3
,
pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
Saved in:
10
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
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