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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Yu, Jun"
~subject:"Statistical test"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Statistical test
Estimation theory
28
Schätztheorie
28
Theorie
9
Theory
9
Time series analysis
8
Volatilität
8
Zeitreihenanalyse
8
Exchange rate
5
Statistischer Test
5
Wechselkurs
5
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
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3
In-fill asymptotics
3
Markov chain
3
Markov-Kette
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Systematischer Fehler
3
Bayes factor
2
Bayes-Statistik
2
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2
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2
Capital income
2
Derivat
2
Derivative
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Disjoint confidence sets
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Double asymptotics
2
Einheitswurzeltest
2
Immobilienmarkt
2
Induktive Statistik
2
Kapitaleinkommen
2
Long memory
2
Markov chain Monte Carlo
2
Option pricing theory
2
Optionspreistheorie
2
Real estate market
2
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2
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Arbeitspapier
Aufsatz in Zeitschrift
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9
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12
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Alizadeh, Sassan
Yu, Jun
Phillips, Peter C. B.
38
Sentana, Enrique
29
Dufour, Jean-Marie
19
Cai, Zongwu
18
Koopman, Siem Jan
18
Amengual, Dante
17
Canay, Ivan A.
17
Shi, Xiaoxia
17
Teräsvirta, Timo
17
Kumar, Dilip
16
Todorov, Viktor
16
Fiorentini, Gabriele
15
Hsu, Yu-Chin
15
Härdle, Wolfgang
15
Kristensen, Dennis
15
Li, Jia
15
Tauchen, George Eugene
15
Andrews, Donald W. K.
14
Maheswaran, S.
14
Bugni, Federico A.
13
Kleibergen, Frank
13
Sun, Yixiao
13
Bera, Anil K.
12
Khalaf, Lynda
12
Lucas, André
12
McAleer, Michael
12
Taylor, Robert
12
Baltagi, Badi H.
11
Chernozhukov, Victor
11
Escanciano, Juan Carlos
11
Ghysels, Eric
11
Guggenberger, Patrik
11
Reiß, Markus
11
Spokojnyj, Vladimir G.
11
Su, Liangjun
11
Andersen, Torben
10
Fang, Ying
10
Francq, Christian
10
Gao, Jiti
10
Hafner, Christian M.
10
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Rodney L. White Center for Financial Research
2
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4
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2
Cowles Foundation discussion paper
1
Financial Institutions Center
1
Journal of econometrics
1
The econometrics journal
1
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
12
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
Hypothesis testing via posterior-test-based Bayes factors
Li, Yong
;
Wang, Nianling
;
Yu, Jun
;
Zhang, Yonghui
-
2023
Persistent link: https://www.econbiz.de/10014320454
Saved in:
3
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
4
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
5
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
6
Bubble testing under polynomial trends
Wang, Xiaohu
;
Yu, Jun
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
Saved in:
7
Specification tests based on MCMC output
Li, Yong
;
Yu, Jun
;
Zeng, Tao
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 237-260
Persistent link: https://www.econbiz.de/10012116303
Saved in:
8
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Kadlec, Gregory B.
; …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002001001
Saved in:
9
High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models
Alizadeh, Sassan
;
Brandt, Michael W.
;
Kadlec, Gregory B.
; …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002004134
Saved in:
10
Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
-
2000
Persistent link: https://www.econbiz.de/10001477772
Saved in:
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