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person:"Daníelsson, Jón"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~person:"Diebold, Francis X."
~person:"Li, Yingying"
~subject:"Capital income"
~subject:"Estimation"
~subject:"Market microstructure noise"
~subject:"Theory"
~subject:"United States"
~subject:"Zeitreihenanalyse"
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Daníelsson, Jón
Diebold, Francis X.
Li, Yingying
Phillips, Peter C. B.
19
Linton, Oliver
16
Taylor, Robert
12
Todorov, Viktor
10
Gouriéroux, Christian
9
Li, Qi
9
Baltagi, Badi H.
8
Lee, Lung-fei
8
Leybourne, Stephen James
8
Tauchen, George Eugene
8
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7
Francq, Christian
7
Gao, Jiti
7
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7
Zakoïan, Jean-Michel
7
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6
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6
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6
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6
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6
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6
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6
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6
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6
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5
Aït-Sahalia, Yacine
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Davis, Richard A.
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Granger, C. W. J.
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5
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5
Li, Degui
5
Magnus, Jan R.
5
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5
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Journal of empirical finance
Discussion paper / Tinbergen Institute
5
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5
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5
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5
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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
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:
3
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:
4
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:
5
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:
6
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
7
Long memory and regime switching
Diebold, Francis X.
;
Inoue, Atsushi
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 131-159
Persistent link: https://www.econbiz.de/10001617152
Saved in:
8
Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón
- In:
Journal of empirical finance
5
(
1998
)
2
,
pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
Saved in:
9
Why are estimates of agricultural supply response so variable?
Diebold, Francis X.
- In:
Journal of econometrics
76
(
1997
)
1
,
pp. 357-373
Persistent link: https://www.econbiz.de/10001211352
Saved in:
10
On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean
Cheung, Yin-Wong
- In:
Journal of econometrics
62
(
1994
)
2
,
pp. 301-316
Persistent link: https://www.econbiz.de/10001162295
Saved in:
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