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subject:"Indien"
subject:"Sparen"
~isPartOf:"CEMMAP working papers / Centre for Microdata Methods and Practice"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Li, Yingying"
~subject:"Forecasting model"
~subject:"IV-Schätzung"
~subject:"Induktive Statistik"
~subject:"Market microstructure noise"
~subject:"Stochastic process"
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Indien
Sparen
Forecasting model
IV-Schätzung
Induktive Statistik
Market microstructure noise
Stochastic process
Estimation theory
13
Schätztheorie
13
Volatility
10
Volatilität
10
Time series analysis
9
Zeitreihenanalyse
9
Market microstructure
6
Marktmikrostruktur
6
Noise Trading
6
Noise trading
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Capital income
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Kapitaleinkommen
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Estimation
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Integrated volatility
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Nichtparametrisches Verfahren
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Schätzung
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Statistical inference
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Börsenkurs
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Factor analysis
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Faktorenanalyse
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Frequency domain inference
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High dimension
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High-frequency data
2
Minimum variance portfolio
2
Portfolio selection
2
Portfolio-Management
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Prognoseverfahren
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Realized volatility
2
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Andersen, Torben
Li, Yingying
Chernozhukov, Victor
18
Horowitz, Joel
14
Hansen, Christian Bailey
11
Kitagawa, Toru
10
Lee, Sokbae
10
Rosen, Adam M.
10
Belloni, Alexandre
9
Canay, Ivan A.
8
Chesher, Andrew
8
Shi, Xiaoxia
8
Todorov, Viktor
8
Bugni, Federico A.
7
Linton, Oliver
7
Newey, Whitney K.
7
Lee, Ji Hyung
6
Phillips, Peter C. B.
5
Stoye, Jörg
5
Swanson, Norman R.
5
Tauchen, George Eugene
5
Taylor, Robert
5
Weidner, Martin
5
Wüthrich, Kaspar
5
Zakoïan, Jean-Michel
5
Andrews, Donald W. K.
4
Andrews, Isaiah
4
Demetrescu, Matei
4
Fan, Yanqin
4
Florens, Jean-Pierre
4
Francq, Christian
4
Kaido, Hiroaki
4
Kim, Donggyu
4
McCloskey, Adam
4
Moreira, Marcelo J.
4
Payne, Jonathan
4
Chao, John C.
3
Cheng, Xu
3
Clark, Todd E.
3
Corradi, Valentina
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CEMMAP working papers / Centre for Microdata Methods and Practice
Journal of econometrics
NBER working paper series
2
CREATES research paper
1
Econometric theory
1
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)
9
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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
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
4
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
5
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
6
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:
7
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:
8
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:
9
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
Saved in:
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