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person:"Daníelsson, Jón"
subject:"Volatility"
~person:"Diebold, Francis X."
~person:"Li, Yingying"
~person:"Nelson, Daniel B."
~person:"Peng, Bin"
~subject:"Capital income"
~subject:"Estimation"
~subject:"Market microstructure noise"
~subject:"United States"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Capital income
Estimation
Market microstructure noise
United States
Zeitreihenanalyse
Estimation theory
56
Schätztheorie
56
Time series analysis
25
Theorie
22
Theory
22
Volatilität
14
Schätzung
10
Nichtparametrisches Verfahren
9
Nonparametric statistics
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9
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USA
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English
41
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Daníelsson, Jón
Diebold, Francis X.
Li, Yingying
Nelson, Daniel B.
Peng, Bin
Phillips, Peter C. B.
35
Linton, Oliver
24
Gao, Jiti
22
Teräsvirta, Timo
19
Harvey, Andrew C.
18
Johansen, Søren
18
Kumbhakar, Subal
18
Leybourne, Stephen James
18
Li, Qi
18
Taylor, Robert
18
Lütkepohl, Helmut
17
Su, Liangjun
17
Baltagi, Badi H.
16
Ghysels, Eric
16
Kumar, Dilip
16
Maheswaran, S.
16
Tauchen, George Eugene
16
Baillie, Richard
15
Kapetanios, George
15
Chambers, Marcus J.
14
Hassler, Uwe
14
Hsiao, Cheng
14
Koop, Gary
14
Pesaran, M. Hashem
14
Westerlund, Joakim
14
Francq, Christian
13
Hendry, David F.
13
Koopman, Siem Jan
13
Perron, Pierre
13
Zakoïan, Jean-Michel
13
Granger, C. W. J.
12
Lesage, James P.
12
Li, Jia
12
McAleer, Michael
12
Robinson, Peter M.
12
Todorov, Viktor
12
Ullah, Aman
12
White, Halbert
12
Xiao, Zhijie
12
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Journal of econometrics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
The journal of finance : the journal of the American Finance Association
3
Econometric theory
2
The review of economic studies
2
Annales d'économie et de statistique
1
Business cycles, indicators, and forecasting
1
Econometric reviews
1
Economics letters
1
Handbook of econometrics : volume 4
1
Handbook of econometrics ; Vol. 4
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international money and finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The American economic review
1
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ECONIS (ZBW)
41
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1
Estimation, inference, and empirical analysis for time-varying var models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 310-321
Persistent link: https://www.econbiz.de/10014449933
Saved in:
2
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:
3
A new test for market efficiency and uncovered interest parity
Baillie, Richard
;
Diebold, Francis X.
;
Kapetanios, George
; …
- In:
Journal of international money and finance
130
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
Saved in:
4
An integrated panel data approach to modelling economic growth
Feng, Guohua
;
Gao, Jiti
;
Peng, Bin
- In:
Journal of econometrics
228
(
2022
)
2
,
pp. 379-397
Persistent link: https://www.econbiz.de/10013441803
Saved in:
5
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:
6
A weighted sieve estimator for nonparametric time series models with nonstationary variables
Dong, Chaohua
;
Linton, Oliver
;
Peng, Bin
- In:
Journal of econometrics
222
(
2021
)
2
,
pp. 909-932
Persistent link: https://www.econbiz.de/10012619807
Saved in:
7
Nonparametric estimation of large covariance matrices with conditional sparsity
Wang, Hanchao
;
Peng, Bin
;
Li, Degui
;
Leng, Chenlei
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 53-72
Persistent link: https://www.econbiz.de/10012619958
Saved in:
8
Varying-coefficient panel data models with nonstationarity and partially observed factor structure
Dong, Chaohua
;
Gao, Jiti
;
Peng, Bin
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 700-711
Persistent link: https://www.econbiz.de/10012588008
Saved in:
9
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:
10
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
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