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source:"econis"
subject:"Schätztheorie"
~isPartOf:"Journal of econometrics"
~isPartOf:"Time-series methods and applications"
~person:"Aït-Sahalia, Yacine"
~person:"Swanson, Norman R."
~subject:"Downside risk"
~subject:"Volatilität"
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Schätztheorie
Downside risk
Volatilität
Theorie
28
Theory
28
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
8
Prognoseverfahren
8
Volatility
8
CAPM
5
Estimation
5
Schätzung
5
Estimation theory
4
Market microstructure
4
Marktmikrostruktur
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4
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3
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Diffusion index
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Dynamisches Gleichgewicht
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Factor analysis
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Faktorenanalyse
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Nichtparametrisches Verfahren
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Nonlinear regression
2
Nonparametric statistics
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Option pricing theory
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Optionspreistheorie
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Portfolio selection
2
Portfolio-Management
2
Statistical distribution
2
Statistical error
2
Statistische Verteilung
2
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Aït-Sahalia, Yacine
Swanson, Norman R.
Chib, Siddhartha
7
Gouriéroux, Christian
6
Lee, Lung-fei
6
Li, Qi
6
Phillips, Peter C. B.
6
Bollerslev, Tim
5
Diebold, Francis X.
5
Granger, C. W. J.
5
Kohn, Robert
5
Andersen, Torben
4
Baltagi, Badi H.
4
Chen, Songnian
4
Hallin, Marc
4
King, Maxwell L.
4
McAleer, Michael
4
Renault, Eric
4
Schmidt, Peter
4
Tauchen, George Eugene
4
Todorov, Viktor
4
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Asai, Manabu
3
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Cavaliere, Giuseppe
3
Christensen, Bent Jesper
3
Donald, Stephen G.
3
Franses, Philip Hans
3
Ghysels, Eric
3
Godfrey, L. G.
3
Golan, Amos
3
Gonzalo, Jesús
3
Greenberg, Edward S.
3
Haldrup, Niels
3
Harvey, Andrew C.
3
Horowitz, Joel
3
Hsiao, Cheng
3
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Journal of econometrics
Time-series methods and applications
Working papers / Rutgers University, Department of Economics
21
Working paper / National Bureau of Economic Research, Inc.
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Technical working paper / National Bureau of Economic Research
3
Working papers / Federal Reserve Bank of Philadelphia, Research Department
3
Cowles Foundation discussion paper
2
Journal of financial economics
2
NBER working paper series
2
The review of financial studies
2
Applied financial economics
1
CEA_372Cass working paper series
1
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1
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1
Econometric reviews
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of the American Statistical Association : JASA
1
Research paper series / Swiss Finance Institute
1
Swiss Finance Institute Research Paper
1
The journal of finance : the journal of the American Finance Association
1
Working papers / Department of Economics, The Johns Hopkins University
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ECONIS (ZBW)
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1
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
2
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
3
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
4
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
5
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
6
Volatility in discrete and continuous-time models : a survey with new evidence on large and small jumps
Duong, Diep
;
Swanson, Norman R.
-
2011
Persistent link: https://www.econbiz.de/10009698154
Saved in:
7
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina
;
Swanson, Norman R.
- In:
Journal of econometrics
161
(
2011
)
2
,
pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
Saved in:
8
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
9
Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
Chao, John C.
;
Swanson, Norman R.
- In:
Journal of econometrics
137
(
2007
)
2
,
pp. 515-555
Persistent link: https://www.econbiz.de/10003441954
Saved in:
10
Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine
- In:
Journal of econometrics
84
(
1998
)
1
,
pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
Saved in:
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