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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:"Marktmikrostruktur"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Marktmikrostruktur
United States
Estimation theory
60
Schätztheorie
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Time series analysis
23
Zeitreihenanalyse
23
Volatilität
18
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16
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16
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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
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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
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
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2
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
3
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:
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
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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6
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
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7
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
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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
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:
10
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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