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person:"Daníelsson, Jón"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Croux, Christophe"
~person:"Hsu, Yu-Chin"
~person:"Li, Yingying"
~person:"Nolte, Ingmar"
~person:"Phillips, Peter C. B."
~subject:"Market microstructure noise"
~subject:"Ranking method"
~subject:"Schätzung"
~subject:"Statistical distribution"
~subject:"Statistical test"
~subject:"United States"
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Volatility
Market microstructure noise
Ranking method
Schätzung
Statistical distribution
Statistical test
United States
Estimation theory
43
Schätztheorie
43
Time series analysis
16
Zeitreihenanalyse
16
Estimation
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
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Regression analysis
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Regressionsanalyse
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Cointegration
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Theorie
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Volatilität
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Induktive Statistik
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Integrated volatility
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Kapitaleinkommen
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Panel study
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18
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Daníelsson, Jón
Croux, Christophe
Hsu, Yu-Chin
Li, Yingying
Nolte, Ingmar
Phillips, Peter C. B.
Todorov, Viktor
10
Linton, Oliver
8
Tauchen, George Eugene
8
Francq, Christian
7
Gao, Jiti
7
Su, Liangjun
7
Andersen, Torben
6
Cai, Zongwu
6
Hsiao, Cheng
6
Li, Jia
6
Park, Joon Y.
6
Sun, Yixiao
6
White, Halbert
6
Zakoïan, Jean-Michel
6
Kim, Donggyu
5
Li, Qi
5
Aït-Sahalia, Yacine
4
Baltagi, Badi H.
4
Fan, Yanqin
4
Gouriéroux, Christian
4
Lu, Xun
4
Mykland, Per A.
4
Taylor, Robert
4
Varneskov, Rasmus Tangsgaard
4
Zhang, Lan
4
Zhu, Ke
4
Andrews, Donald W. K.
3
Bertanha, Marinho
3
Bollerslev, Tim
3
Callaway, Brantly
3
Chen, Xiaohong
3
Davis, Richard A.
3
Escanciano, Juan Carlos
3
Gallant, A. Ronald
3
Ghysels, Eric
3
Hausman, Jerry A.
3
Hill, Jonathan B.
3
Hong, Yongmiao
3
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Journal of econometrics
Cowles Foundation discussion paper
25
Cowles Foundation Discussion Paper
10
IEAS working paper
8
KBI
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Econometric theory
4
The econometrics journal
4
Discussion paper / Tinbergen Institute
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Working paper
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Working paper / University of Toronto, Department of Economics
2
Annales d'économie et de statistique
1
CREATES research paper
1
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1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
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1
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1
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1
Economics letters
1
Journal of banking & finance
1
Journal of econometric methods
1
Journal of empirical finance
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quantitative economics : QE ; journal of the Econometric Society
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
TRACE discussion papers / Tinbergen Institute
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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The review of economic studies
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ECONIS (ZBW)
18
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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
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
3
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
4
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:
5
Functional coefficient panel modeling with communal smoothing covariates
Phillips, Peter C. B.
;
Wang, Ying
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 371-407
Persistent link: https://www.econbiz.de/10013442086
Saved in:
6
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
7
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Li, Degui
;
Phillips, Peter C. B.
;
Gao, Jiti
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 607-632
Persistent link: https://www.econbiz.de/10012439572
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
Robust uniform inference for quantile treatment effects in regression discontinuity designs
Chiang, Harold D.
;
Hsu, Yu-Chin
;
Sasaki, Yuya
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 589-618
Persistent link: https://www.econbiz.de/10012303853
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
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