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subject:"Großbritannien"
subject:"Zeitreihenanalyse"
~isPartOf:"Journal of econometrics"
~person:"Li, Yingying"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Nichtparametrisches Verfahren"
~subject:"Statistische Verteilung"
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Großbritannien
Zeitreihenanalyse
Maximum-Likelihood-Schätzung
Nichtparametrisches Verfahren
Statistische Verteilung
Estimation theory
7
Schätztheorie
7
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Time series analysis
5
Volatility
5
Volatilität
5
Market microstructure noise
4
Capital income
3
High frequency data
3
Integrated volatility
3
Kapitaleinkommen
3
Nonparametric statistics
3
Analysis of variance
2
Börsenkurs
2
Estimation
2
High dimension
2
High-frequency data
2
Minimum variance portfolio
2
Portfolio selection
2
Portfolio-Management
2
Realized volatility
2
Schätzung
2
Share price
2
Varianzanalyse
2
ARCH model
1
ARCH-Modell
1
CLIME estimator
1
Central limit theorem
1
Dependent noise
1
Efficiency
1
Endogenous time
1
Extreme return persistence
1
Factor analysis
1
Factor model
1
Faktorenanalyse
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Li, Yingying
Phillips, Peter C. B.
18
Linton, Oliver
17
Robinson, Peter M.
13
Chen, Xiaohong
12
Li, Qi
11
Su, Liangjun
10
White, Halbert
10
Cai, Zongwu
9
Florens, Jean-Pierre
9
Taylor, Robert
9
Chen, Songnian
8
Lewbel, Arthur
8
Lee, Lung-fei
7
Leybourne, Stephen James
7
Li, Degui
7
Park, Joon Y.
7
Simar, Léopold
7
Todorov, Viktor
7
Xiao, Zhijie
7
Gao, Jiti
6
Li, Jia
6
Sasaki, Yuya
6
Sun, Yiguo
6
Zhu, Ke
6
Andersen, Torben
5
Breunig, Christoph
5
Davis, Richard A.
5
Escanciano, Juan Carlos
5
Fan, Yanqin
5
Horowitz, Joel
5
Hsiao, Cheng
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Kristensen, Dennis
5
Li, Dong
5
Li, Kunpeng
5
Sun, Yixiao
5
Tauchen, George Eugene
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Tu, Yundong
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Journal of econometrics
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)
5
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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
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:
3
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:
4
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:
5
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
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