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subject:"Prognoseverfahren"
subject:"USA"
~isPartOf:"Journal of econometrics"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~person:"Bollerslev, Tim"
~person:"Li, Jia"
~subject:"Time series analysis"
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Prognoseverfahren
USA
Time series analysis
Estimation theory
11
Schätztheorie
11
Volatility
8
Volatilität
8
Zeitreihenanalyse
8
Estimation
6
Schätzung
6
Börsenkurs
5
High-frequency data
5
Share price
5
Capital income
3
Kapitaleinkommen
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Specification test
3
Stochastic process
3
Stochastic volatility
3
Stochastischer Prozess
3
Adaptive estimation
2
Beta
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Beta risk
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Betafaktor
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Market microstructure
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Marktmikrostruktur
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Martingal
2
Martingale
2
Measurement
2
Messung
2
Microstructure noise
2
Noise Trading
2
Noise trading
2
Semimartingale
2
Semiparametric efficiency
2
Bootstrap
1
Bootstrap approach
1
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1
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1
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Bollerslev, Tim
Li, Jia
Phillips, Peter C. B.
12
Taylor, Robert
12
Leybourne, Stephen James
8
Linton, Oliver
8
Elliott, Graham
6
Stock, James H.
6
Todorov, Viktor
6
Andersen, Torben
5
Chen, Xiaohong
5
Davis, Richard A.
5
Francq, Christian
5
Harvey, David I.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Li, Qi
5
Li, Yingying
5
Nelson, Daniel B.
5
Robinson, Peter M.
5
Tauchen, George Eugene
5
Xiao, Zhijie
5
Zhu, Ke
5
Abadie, Alberto
4
Angrist, Joshua D.
4
Baltagi, Badi H.
4
Cai, Zongwu
4
Chambers, Marcus J.
4
Demetrescu, Matei
4
Georgiev, Iliyan
4
McCracken, Michael W.
4
Müller, Ulrich K.
4
Ng, Serena
4
Pesaran, M. Hashem
4
Shephard, Neil G.
4
Sun, Yixiao
4
Tu, Yundong
4
Watson, Mark W.
4
Zakoïan, Jean-Michel
4
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Journal of econometrics
Technical working paper / National Bureau of Economic Research
Working paper
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
CREATES Research Paper 2008-49
1
Cowles Foundation discussion paper
1
Discussion paper / Department of Economics, University of California San Diego
1
ERID working 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
Economic Research Initiatives at Duke (ERID) Working Paper
1
Handbook of econometrics : volume 4
1
Handbook of econometrics ; Vol. 4
1
International finance discussion papers
1
The journal of finance : the journal of the American Finance Association
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The review of economics and statistics
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ECONIS (ZBW)
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
3
Uniform nonparametric inference for time series
Li, Jia
;
Liao, Zhipeng
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 38-51
Persistent link: https://www.econbiz.de/10012483186
Saved in:
4
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
5
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:
6
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:
7
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
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
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard
;
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 3-30
Persistent link: https://www.econbiz.de/10001755335
Saved in:
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