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subject:"Großbritannien"
subject:"Wechselkurs"
~isPartOf:"Journal of econometrics"
~person:"Aït-Sahalia, Yacine"
~subject:"Monte-Carlo-Simulation"
~subject:"Time series analysis"
~subject:"Volatilität"
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Großbritannien
Wechselkurs
Monte-Carlo-Simulation
Time series analysis
Volatilität
Estimation theory
9
Schätztheorie
9
Volatility
3
Statistical test
2
Statistischer Test
2
Zeitreihenanalyse
2
Diffusions
1
Estimation
1
HJM approach
1
Hausman test
1
Kernel estimators
1
Local power
1
Local time
1
Locally linear estimators
1
Market microstructure
1
Market microstructure noise
1
Markov chain
1
Markov-Kette
1
Marktmikrostruktur
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Nichtparametrisches Verfahren
1
Noise Trading
1
Noise trading
1
Nonparametric statistics
1
Nonstationarity
1
Pre-averaging
1
Probability theory
1
QMLE
1
Realized volatility
1
Schätzung
1
Statistical distribution
1
Statistische Verteilung
1
Stochastic process
1
Stochastischer Prozess
1
Super-efficiency
1
Swap
1
TSRV
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Aït-Sahalia, Yacine
Phillips, Peter C. B.
11
Todorov, Viktor
10
Taylor, Robert
9
Linton, Oliver
8
Andersen, Torben
7
Francq, Christian
7
Leybourne, Stephen James
7
Li, Jia
7
Tauchen, George Eugene
7
Koopman, Siem Jan
6
Zhu, Ke
6
Chen, Xiaohong
5
Davis, Richard A.
5
Kim, Donggyu
5
Li, Qi
5
Li, Yingying
5
Mykland, Per A.
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
Bollerslev, Tim
4
Chambers, Marcus J.
4
Harvey, David I.
4
Li, Dong
4
Ng, Serena
4
Park, Joon Y.
4
Shephard, Neil G.
4
Sun, Yixiao
4
Varneskov, Rasmus Tangsgaard
4
Zhang, Lan
4
Baillie, Richard
3
Baltagi, Badi H.
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
Gallant, A. Ronald
3
Gao, Jiti
3
Ghysels, Eric
3
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Journal of econometrics
Handbooks in finance
1
Journal of the American Statistical Association : JASA
1
Technical working paper / National Bureau of Economic Research
1
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ECONIS (ZBW)
5
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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
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
Saved in:
3
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:
4
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:
5
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
Saved in:
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