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person:"Daníelsson, Jón"
subject:"Volatility"
~person:"Härdle, Wolfgang"
~person:"Kim, Donggyu"
~person:"Li, Yingying"
~subject:"Finanzmarkt"
~subject:"Market microstructure noise"
~subject:"Multivariate analysis"
~subject:"United States"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Finanzmarkt
Market microstructure noise
Multivariate analysis
United States
Estimation theory
38
Schätztheorie
38
Volatilität
20
Time series analysis
17
Zeitreihenanalyse
17
Estimation
14
Schätzung
14
Börsenkurs
11
Share price
11
Theorie
9
Theory
9
Market microstructure
8
Marktmikrostruktur
8
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Stochastic process
7
Stochastischer Prozess
7
Noise Trading
6
Noise trading
6
ARCH model
5
ARCH-Modell
5
Capital income
5
Forecasting model
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Kapitaleinkommen
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Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Prognoseverfahren
5
Regression analysis
5
Regressionsanalyse
5
Financial market
4
Integrated volatility
4
Factor analysis
3
Factor model
3
Faktorenanalyse
3
High frequency data
3
High-frequency data
3
Option pricing theory
3
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Article
21
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Article in journal
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21
Graue Literatur
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Non-commercial literature
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16
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English
21
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Daníelsson, Jón
Härdle, Wolfgang
Kim, Donggyu
Li, Yingying
Kumar, Dilip
16
Maheswaran, S.
14
Tauchen, George Eugene
12
Todorov, Viktor
12
Li, Jia
11
Hafner, Christian M.
8
Teräsvirta, Timo
8
Andersen, Torben
7
Bollerslev, Tim
7
Fan, Jianqing
7
Francq, Christian
7
Ghysels, Eric
7
Liu, Zhi
7
McAleer, Michael
7
Mykland, Per A.
7
Wang, Yazhen
6
Aït-Sahalia, Yacine
5
Diebold, Francis X.
5
Hoffman, Dennis L.
5
Jing, Bingyi
5
Koop, Gary
5
Koopman, Siem Jan
5
Maddala, Gangadharrao S.
5
Park, Joon Y.
5
Shephard, Neil G.
5
Swanson, Norman R.
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Allen, David E.
4
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
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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
Econometrics : open access journal
1
Finance and stochastics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Nonparametric dynamic modelling
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
21
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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
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
13
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:
14
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:
15
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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
Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang
;
Hafner, Christian M.
- In:
Finance and stochastics
4
(
2000
)
2
,
pp. 189-207
Persistent link: https://www.econbiz.de/10001486714
Saved in:
18
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:
19
Local polynomial estimators of the volatility function in nonparametric autoregression
Härdle, Wolfgang
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
Saved in:
20
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:
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