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person:"Daníelsson, Jón"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"Janeway Institute working paper series"
~person:"Croux, Christophe"
~person:"Li, Yingying"
~person:"Linton, Oliver"
~person:"Nolte, Ingmar"
~person:"Tauchen, George Eugene"
~subject:"Estimation theory"
~subject:"Faktorenanalyse"
~subject:"Market microstructure noise"
~subject:"United States"
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Volatility
Estimation theory
Faktorenanalyse
Market microstructure noise
United States
Schätztheorie
3
Estimation
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Schätzung
2
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Spot volatility matrix
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Daníelsson, Jón
Croux, Christophe
Li, Yingying
Linton, Oliver
Nolte, Ingmar
Tauchen, George Eugene
Li, Degui
2
Bu, Ruijun
1
Chen, Jia
1
Li, Yuning
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Vogt, Michael
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Janeway Institute working paper series
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24
CEMMAP working papers / Centre for Microdata Methods and Practice
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Cambridge working papers in economics
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Working paper / Department of Econometrics and Business Statistics, Monash University
6
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Economic Research Initiatives at Duke (ERID) Working Paper
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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CCE estimation of high-dimensional panel data models with interactive fixed effects
Vogt, Michael
;
Walsh, Christopher
;
Linton, Oliver
-
2022
Persistent link: https://www.econbiz.de/10013485021
Saved in:
2
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
3
Estimating time-varying networks for high-dimensional time series
Chen, Jia
;
Li, Degui
;
Li, Yuning
;
Linton, Oliver
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2022
-
Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
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