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subject:"Germany"
~person:"Aït-Sahalia, Yacine"
~subject:"Sampling"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Government document"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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19
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8
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6
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4
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3
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Aït-Sahalia, Yacine
Lechner, Michael
21
Kumar, Dilip
17
Härdle, Wolfgang
16
Teräsvirta, Timo
16
Todorov, Viktor
16
Koopman, Siem Jan
15
Maheswaran, S.
15
Tauchen, George Eugene
15
Li, Jia
14
Mykland, Per A.
13
Andersen, Torben
12
Huber, Martin
12
Lütkepohl, Helmut
11
Winkelmann, Rainer
11
Diebold, Francis X.
10
Ghysels, Eric
10
Hafner, Christian M.
10
Lucas, André
10
Brakel, Jan A. van den
9
Rodriguez, Gabriel
9
Wolters, Jürgen
9
Brandt, Michael W.
8
Li, Yingying
8
Linton, Oliver
8
Liu, Zhi
8
Phillips, Peter C. B.
8
Sibbertsen, Philipp
8
Silvennoinen, Annastiina
8
Abberger, Klaus
7
Bibinger, Markus
7
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7
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7
Daníelsson, Jón
7
Francq, Christian
7
Gouriéroux, Christian
7
Kim, Donggyu
7
Runde, Ralf
7
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7
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3
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2
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2
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1
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ECONIS (ZBW)
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1
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
2
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
3
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
Saved in:
4
How often to sample a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
-
2003
Persistent link: https://www.econbiz.de/10001752968
Saved in:
5
The effects of Random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine
;
Mykland, Per A.
-
2002
Persistent link: https://www.econbiz.de/10001663740
Saved in:
6
Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Peng, Heng
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
487
,
pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
Saved in:
7
Fisher's information for discretely sampled Lévy processes
Aït-Sahalia, Yacine
;
Jacod, Jean
- In:
Econometrica : journal of the Econometric Society, an …
76
(
2008
)
4
,
pp. 727-761
Persistent link: https://www.econbiz.de/10003740219
Saved in:
8
How often to simple a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
The review of financial studies
18
(
2005
)
2
,
pp. 351-416
Persistent link: https://www.econbiz.de/10002881476
Saved in:
9
The effects of random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine
;
Mykland, Per A.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 483-549
Persistent link: https://www.econbiz.de/10001750277
Saved in:
10
Maximum likelihood estimation of discretely sampled diffusions : a closed-form approach
Aït-Sahalia, Yacine
-
1998
Persistent link: https://www.econbiz.de/10000982384
Saved in:
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