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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Journal of financial econometrics"
~person:"Li, Jia"
~person:"Taylor, Stephen"
~person:"Todorov, Viktor"
~subject:"Induktive Statistik"
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Volatility
Induktive Statistik
Börsenkurs
3
Estimation theory
3
Schätztheorie
3
Share price
3
Volatilität
3
Estimation
2
Market microstructure
2
Marktmikrostruktur
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Noise Trading
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Time series analysis
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Regression analysis
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Regressionsanalyse
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Stochastic process
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Stochastischer Prozess
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forecasting
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high frequency data
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jump power variation
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jumps
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pre-averaging
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price durations
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regression
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Li, Jia
Taylor, Stephen
Todorov, Viktor
Andrews, Donald W. K.
3
Chernozhukov, Victor
3
Hong, Han
2
Sancetta, Alessio
2
Ahn, Hyungtaik
1
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1
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Hecq, Alain W. J.
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Hirano, Keisuke
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Hong, Seok Young
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Hung, Mao-Wei
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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
Journal of financial econometrics
Journal of econometrics
12
Econometric theory
2
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Swiss journal of economics and statistics
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Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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
Saved in:
3
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
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