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person:"Daníelsson, Jón"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Diebold, Francis X."
~person:"Li, Yingying"
~subject:"Capital income"
~subject:"Estimation"
~subject:"Market microstructure noise"
~subject:"United States"
~subject:"Zeitreihenanalyse"
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Volatility
Capital income
Estimation
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United States
Zeitreihenanalyse
Estimation theory
11
Schätztheorie
11
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Time series analysis
5
Volatilität
5
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Daníelsson, Jón
Diebold, Francis X.
Li, Yingying
Phillips, Peter C. B.
14
Linton, Oliver
13
Taylor, Robert
11
Todorov, Viktor
10
Tauchen, George Eugene
8
Andersen, Torben
7
Francq, Christian
7
Gao, Jiti
7
Leybourne, Stephen James
7
Li, Jia
7
Chen, Xiaohong
6
Xiao, Zhijie
6
Zakoïan, Jean-Michel
6
Zhu, Ke
6
Aït-Sahalia, Yacine
5
Baltagi, Badi H.
5
Cai, Zongwu
5
Davis, Richard A.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Degui
5
Li, Qi
5
Mykland, Per A.
5
Park, Joon Y.
5
Robinson, Peter M.
5
Zhang, Lan
5
Bollerslev, Tim
4
Chambers, Marcus J.
4
Demetrescu, Matei
4
Ghysels, Eric
4
Gouriéroux, Christian
4
Harvey, David I.
4
Li, Dong
4
Li, Guodong
4
Lu, Xun
4
Marcellino, Massimiliano
4
Ng, Serena
4
Pesaran, M. Hashem
4
Rodrigues, Paulo M. M.
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Journal of econometrics
NBER Working Paper
5
Working papers / Federal Reserve Bank of Philadelphia, Economic Research Division
5
NBER working paper series
4
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4
Discussion paper / Tinbergen Institute
3
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3
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2
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1
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ECONIS (ZBW)
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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
Stochastic volatility in asset prices : estimation with simulated maximum likelihood
Daníelsson, Jón
- In:
Journal of econometrics
64
(
1994
)
1
,
pp. 375-400
Persistent link: https://www.econbiz.de/10001166420
Saved in:
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