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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"Li, Jia"
~person:"Todorov, Viktor"
~subject:"Induktive Statistik"
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Search: subject_exact:"Estimation theory"
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Volatility
Induktive Statistik
Estimation theory
20
Schätztheorie
20
Volatilität
14
Time series analysis
12
Zeitreihenanalyse
12
Estimation
9
Schätzung
9
Börsenkurs
8
Share price
8
Stochastic process
7
Stochastischer Prozess
7
High-frequency data
6
Capital income
5
Kapitaleinkommen
5
Stochastic volatility
5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Consistency
3
Forecasting model
3
Option pricing theory
3
Options
3
Optionspreistheorie
3
Prognoseverfahren
3
Specification test
3
Statistical distribution
3
Statistische Verteilung
3
Adaptive estimation
2
Asymptotic normality
2
Beta
2
Beta risk
2
Betafaktor
2
Factor analysis
2
Faktorenanalyse
2
Invertibility
2
Jumps
2
Laplace transform
2
Market microstructure
2
Marktmikrostruktur
2
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14
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Article in journal
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14
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English
14
Author
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Koopman, Siem Jan
Li, Jia
Todorov, Viktor
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Yingying
6
Kim, Donggyu
5
Fan, Yanqin
4
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Gouriéroux, Christian
3
Inoue, Atsushi
3
Kilian, Lutz
3
Kitagawa, Toru
3
Linton, Oliver
3
Liu, Ruixuan
3
Meddahi, Nour
3
Park, Joon Y.
3
Shi, Xiaoxia
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zheng, Xinghua
3
Zhu, Ke
3
Andrews, Donald W. K.
2
Cheng, Xu
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Hansen, Christian Bailey
2
Jansson, Michael
2
Jasiak, Joann
2
Khalaf, Lynda
2
Kong, Xin-Bing
2
Li, Guodong
2
Li, Wai Keung
2
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Journal of econometrics
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
14
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
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:
5
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:
6
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
7
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
8
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:
9
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:
10
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:
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