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person:"Croux, Christophe"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Gouriéroux, Christian"
~person:"Mykland, Per A."
~subject:"Core"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Core
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Estimation theory
18
Schätztheorie
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6
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6
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6
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4
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3
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3
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Croux, Christophe
Gouriéroux, Christian
Mykland, Per A.
Phillips, Peter C. B.
12
Todorov, Viktor
10
Taylor, Robert
9
Linton, Oliver
8
Andersen, Torben
7
Leybourne, Stephen James
7
Li, Jia
7
Tauchen, George Eugene
7
Francq, Christian
6
Zhu, Ke
6
Aït-Sahalia, Yacine
5
Chen, Xiaohong
5
Davis, Richard A.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Yingying
5
Robinson, Peter M.
5
Sun, Yixiao
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
Bollerslev, Tim
4
Chambers, Marcus J.
4
Harvey, David I.
4
Li, Dong
4
Li, Qi
4
Ng, Serena
4
Park, Joon Y.
4
Varneskov, Rasmus Tangsgaard
4
Zhang, Lan
4
Baillie, Richard
3
Baltagi, Badi H.
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
Gao, Jiti
3
Ghysels, Eric
3
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3
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Journal of econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
KBI
9
Série des documents de travail
7
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
5
Annals of economics and statistics
1
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Discussion papers of interdisciplinary research project 373
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometric methods
1
Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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Springer series in statistics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
Technical working paper / National Bureau of Economic Research
1
The economic journal : the journal of the Royal Economic Society
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The review of economic studies : RES
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ECONIS (ZBW)
8
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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
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
4
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:
5
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:
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
Saved in:
7
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
8
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
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