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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Finance and stochastics"
~person:"Li, Yingying"
~person:"Todorov, Viktor"
~subject:"Black-Scholes-Modell"
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Stochastischer Prozess
Volatility
Black-Scholes-Modell
Börsenkurs
2
Estimation theory
2
Schätztheorie
2
Share price
2
Time series analysis
2
Volatilität
2
Zeitreihenanalyse
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Autocorrelation
1
Autokorrelation
1
Capital income
1
Efficient estimation
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Estimation
1
Kapitaleinkommen
1
LAMN
1
Market microstructure
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Market microstructure noise
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Marktmikrostruktur
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Martingal
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Martingale
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Nichtparametrisches Verfahren
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Noise Trading
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Noise trading
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Nonparametric statistics
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Regression analysis
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Regressionsanalyse
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Schätzung
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Stochastic process
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autocorrelation
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autocovariance
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high frequency data
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high-frequency data
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joint moments
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jumps
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regression
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semimartingale
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specification test
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stochastic volatility
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Li, Yingying
Todorov, Viktor
Li, Jia
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Azencott, Robert
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Filipović, Damir
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Foster, Dean P.
1
Fukasawa, Masaaki
1
Gao, Kun
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Gloter, Arnaud
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Hafner, Christian M.
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Hansen, Bruce E.
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Härdle, Wolfgang
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Jacod, Jean
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Lee, Roger
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Liu, Zhi
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Mattiussi, Vanessa
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Nelson, Daniel B.
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Phillips, Peter C. B.
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Ren, Peng
1
Renò, Roberto
1
Sakata, Shinichi
1
Söhl, Jakob
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Tappe, Stefan
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Tauchen, George Eugene
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Timofeyev, Ilya
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Uhlig, Harald
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Finance and stochastics
Journal of econometrics
14
ERID working paper
3
Economic Research Initiatives at Duke (ERID) Working Paper
2
CREATES research paper
1
Econometric theory
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
2
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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