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person:"Daníelsson, Jón"
~person:"Diebold, Francis X."
~person:"Granger, C. W. J."
~person:"Li, Yingying"
~person:"Nelson, Daniel B."
~type:"article"
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Search: subject_exact:"Estimation theory"
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Estimation theory
63
Schätztheorie
63
Theorie
39
Theory
39
Time series analysis
30
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30
Volatility
14
Volatilität
14
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Daníelsson, Jón
Diebold, Francis X.
Granger, C. W. J.
Li, Yingying
Nelson, Daniel B.
Phillips, Peter C. B.
95
Baltagi, Badi H.
69
Lee, Lung-fei
68
Li, Qi
65
Linton, Oliver
58
Ullah, Aman
56
Newey, Whitney K.
54
Andrews, Donald W. K.
53
Tsionas, Efthymios G.
51
Su, Liangjun
48
Wooldridge, Jeffrey M.
45
Kumbhakar, Subal
42
Pesaran, M. Hashem
42
Robinson, Peter M.
41
White, Halbert
41
Gouriéroux, Christian
40
Ohtani, Kazuhiro
40
Gao, Jiti
38
Chen, Songnian
36
Parmeter, Christopher F.
36
Simar, Léopold
36
Horowitz, Joel
35
McAleer, Michael
35
Bera, Anil K.
34
Perron, Pierre
34
Dufour, Jean-Marie
33
Hsiao, Cheng
33
Fan, Yanqin
32
Hahn, Jinyong
32
Krämer, Walter
32
Bai, Jushan
31
Cai, Zongwu
31
Florens, Jean-Pierre
31
Lütkepohl, Helmut
31
Chen, Xiaohong
30
Giles, David E. A.
30
Hansen, Bruce E.
30
Hendry, David F.
29
Zhang, Xinyu
29
Hausman, Jerry A.
28
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Journal of econometrics
17
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
3
The journal of finance : the journal of the American Finance Association
3
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2
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2
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2
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1
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1
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1
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1
Contributions to econometric methodology in honor of T. W. Anderson
1
Econometric modelling with cointegrated variables : special issue
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
Handbook of econometrics : volume 4
1
Handbook of econometrics ; Vol. 2
1
Handbook of econometrics ; Vol. 4
1
Información comercial española / Cuadernos económicos
1
International journal of forecasting
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international money and finance
1
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1
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1
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Proceedings of a Conference on New Approaches to Empirical Macroeconomics : Ebeltoft, Denmark, May 1990
1
Special issue on topics in applied econometrics
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The American economic review
1
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1
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:
2
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:
3
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:
4
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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