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person:"Daníelsson, Jón"
subject:"Volatility"
~person:"Croux, Christophe"
~person:"Li, Yingying"
~person:"Nolte, Ingmar"
~person:"Sentana, Enrique"
~person:"Shephard, Neil G."
~subject:"Market microstructure noise"
~subject:"Marktmikrostruktur"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Market microstructure noise
Marktmikrostruktur
United States
Estimation theory
60
Schätztheorie
60
Time series analysis
23
Zeitreihenanalyse
23
Volatilität
18
Theorie
16
Theory
16
Börsenkurs
14
Share price
14
Market microstructure
12
Estimation
10
Capital income
9
Forecasting model
9
Kapitaleinkommen
9
Prognoseverfahren
9
Schätzung
9
Noise Trading
8
Noise trading
8
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Portfolio selection
6
Portfolio-Management
6
VAR model
6
VAR-Modell
6
Correlation
5
Korrelation
5
ARCH model
4
ARCH-Modell
4
Analysis of variance
4
CAPM
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Multivariate Analyse
4
Multivariate analysis
4
Statistical test
4
Statistischer Test
4
Stochastic process
4
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12
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1
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Article
20
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Aufsatz in Zeitschrift
Graue Literatur
24
Non-commercial literature
24
Arbeitspapier
23
Working Paper
23
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20
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English
20
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Daníelsson, Jón
Croux, Christophe
Li, Yingying
Nolte, Ingmar
Sentana, Enrique
Shephard, Neil G.
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Tauchen, George Eugene
12
Todorov, Viktor
12
Liu, Zhi
8
Mykland, Per A.
8
Teräsvirta, Timo
8
Andersen, Torben
7
Bollerslev, Tim
7
Francq, Christian
7
Ghysels, Eric
7
Kim, Donggyu
7
Aït-Sahalia, Yacine
6
Wang, Yazhen
6
Zhang, Lan
6
Diebold, Francis X.
5
Fan, Jianqing
5
Hafner, Christian M.
5
Hoffman, Dennis L.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Linton, Oliver
5
Maddala, Gangadharrao S.
5
Mancino, Maria Elvira
5
McAleer, Michael
5
Park, Joon Y.
5
Swanson, Norman R.
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Atkinson, Scott Estes
4
Bauwens, Luc
4
Bera, Anil K.
4
Caporale, Guglielmo Maria
4
Clements, Adam
4
Conway, Karen Smith
4
Cornwell, Christopher Mark
4
Corsi, Fulvio
4
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Journal of econometrics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Annales d'économie et de statistique
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of banking & finance
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quantitative finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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11
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
12
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:
13
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
14
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
15
Least squares infernce on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar
;
Voev, Valeri
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
1
,
pp. 94-108
Persistent link: https://www.econbiz.de/10009558954
Saved in:
16
Value-at-risk and extreme returns
Daníelsson, Jón
;
Vries, Casper G. de
- In:
Annales d'économie et de statistique
(
2000
),
pp. 239-270
Persistent link: https://www.econbiz.de/10001543557
Saved in:
17
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:
18
Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C.
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
4
,
pp. 429-434
Persistent link: https://www.econbiz.de/10001209347
Saved in:
19
Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code
Daníelsson, Jón
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
1
(
1996
)
1
,
pp. 39-34
Persistent link: https://www.econbiz.de/10001769603
Saved in:
20
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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