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person:"Daníelsson, Jón"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Li, Jia"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
19
Schätztheorie
19
Volatilität
16
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11
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11
Time series analysis
10
Zeitreihenanalyse
10
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Daníelsson, Jón
Alizadeh, Sassan
Li, Jia
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Tauchen, George Eugene
10
Liu, Zhi
8
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
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7
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Koopman, Siem Jan
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Taylor, Stephen
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Zakoïan, Jean-Michel
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Arnerić, Josip
4
Aït-Sahalia, Yacine
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Clements, Adam
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4
Fičura, Milan
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Hwang, Eunju
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Li, Wai Keung
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Nolte, Ingmar
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Park, Joon Y.
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Shin, Dong-wan
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Song, Yuping
4
Sucarrat, Genaro
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Taylor, James W.
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Wang, Jying-Nan
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Journal of econometrics
6
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Annales d'économie et de statistique
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of finance : the journal of the American Finance Association
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The review of economics and statistics
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ECONIS (ZBW)
16
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1
Reading the candlesticks : an OK estimator for volatility
Li, Jia
;
Wang, Dishen
;
Zhang, Qiushi
- In:
The review of economics and statistics
106
(
2024
)
4
,
pp. 1114-1128
Persistent link: https://www.econbiz.de/10015046594
Saved in:
2
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
3
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
10
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
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