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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometrics : open access journal"
~isPartOf:"Handbook of financial time series"
~isPartOf:"Journal of econometrics"
~person:"Chen, Song Xi"
~person:"Zhu, Ke"
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Stochastischer Prozess
Volatility
Estimation theory
12
Schätztheorie
12
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Portmanteau test
3
Statistical test
3
Statistischer Test
3
Stochastic process
3
Volatilität
3
High dimensionality
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
ARCH-type model
1
ARMA model
1
ARMA-Modell
1
Adaptive inference
1
Analysis of variance
1
Asymmetric power GARCH
1
Asymmetry testing
1
Augmented DAR model
1
Autocorrelation
1
Autokorrelation
1
Bandable covariance
1
Bias
1
Bias correction
1
Black-Scholes model
1
Black-Scholes-Modell
1
Block-wise random weighting method
1
Bootstrap approach
1
Bootstrap-Verfahren
1
Cointegration
1
Conditional heteroscedasticity
1
Conditional quantile
1
Correlation
1
DAR model
1
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Chen, Song Xi
Zhu, Ke
Todorov, Viktor
10
Tauchen, George Eugene
8
Andersen, Torben
6
Kim, Donggyu
6
Li, Jia
6
Zakoïan, Jean-Michel
6
Francq, Christian
5
Li, Yingying
5
Mykland, Per A.
4
Park, Joon Y.
4
Wang, Yazhen
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Koopman, Siem Jan
3
Li, Dong
3
Li, Guodong
3
Meddahi, Nour
3
Phillips, Peter C. B.
3
Silvennoinen, Annastiina
3
Teräsvirta, Timo
3
Varneskov, Rasmus Tangsgaard
3
Zhang, Lan
3
Zu, Yang
3
Barigozzi, Matteo
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Li, Muyi
2
Li, Wai Keung
2
Lieberman, Offer
2
Patton, Andrew J.
2
Potiron, Yoann
2
Taylor, Robert
2
Wang, Bin
2
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Econometrics : open access journal
Handbook of financial time series
Journal of econometrics
Econometric reviews
1
Journal of the American Statistical Association : JASA
1
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ECONIS (ZBW)
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
3
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
4
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Saved in:
5
Nonparametric estimation for a class of Lévy processes
Chen, Song Xi
;
Delaigle, Aurore
;
Hall, Peter
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 257-271
Persistent link: https://www.econbiz.de/10008663024
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