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subject:"Germany"
~language:"deu"
~language:"eng"
~person:"Todorov, Viktor"
~subject:"Bayesian inference"
~subject:"Stochastischer Prozess"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Germany
Bayesian inference
Stochastischer Prozess
USA
Estimation theory
21
Schätztheorie
21
Volatility
19
Volatilität
19
Estimation
14
Schätzung
14
Stochastic process
12
Time series analysis
11
Zeitreihenanalyse
11
Börsenkurs
9
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9
Capital income
6
Kapitaleinkommen
6
Nichtparametrisches Verfahren
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Optionspreistheorie
6
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5
Stochastic volatility
5
Martingal
3
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3
Options
3
Statistical distribution
3
Statistische Verteilung
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Adaptive estimation
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Beta
2
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2
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Jumps
2
Laplace transform
2
Option trading
2
Optionsgeschäft
2
Regression analysis
2
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Todorov, Viktor
Koop, Gary
30
Phillips, Peter C. B.
26
Schorfheide, Frank
22
Winkelmann, Rainer
22
Lechner, Michael
21
Tsionas, Efthymios G.
20
Koopman, Siem Jan
19
Pesaran, M. Hashem
17
Kohn, Robert
15
Lütkepohl, Helmut
15
Tauchen, George Eugene
15
Wolters, Jürgen
15
Zhang, Xibin
15
Bauwens, Luc
13
Fernández-Villaverde, Jesús
13
Härdle, Wolfgang
13
Kilian, Lutz
13
Mairesse, Jacques
13
Baltagi, Badi H.
12
Chaturvedi, Anoop
12
Diebold, Francis X.
12
Gao, Jiti
12
McAleer, Michael
12
Shin, Minchul
12
Strachan, Rodney W.
12
Swanson, Norman R.
12
Zhang, Xinyu
12
Bekaert, Geert
11
Del Negro, Marco
11
Griliches, Zvi
11
Hong, Han
11
Martin, Gael M.
11
Matlin, Ethan
11
Sarfati, Reca
11
Yang, Lijian
11
Ardia, David
10
Bresson, Georges
10
Caporale, Guglielmo Maria
10
Hall, Bronwyn H.
10
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Journal of econometrics
7
ERID working paper
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
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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ECONIS (ZBW)
12
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1
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
2
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
3
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
4
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
5
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
6
Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions
Todorov, Viktor
;
Tauchen, George Eugene
-
2011
Persistent link: https://www.econbiz.de/10009561745
Saved in:
7
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Todorov, Viktor
-
2011
We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two steps. The first is aggregating the high-frequency increments into the realized...
Persistent link: https://www.econbiz.de/10013119658
Saved in:
8
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
9
Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2010
Persistent link: https://www.econbiz.de/10009560323
Saved in:
10
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor
-
2010
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility,...
Persistent link: https://www.econbiz.de/10013137409
Saved in:
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