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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~person:"Tauchen, George Eugene"
~subject:"Panel study"
~subject:"Stochastic process"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Panel study
Stochastic process
Estimation theory
8
Schätztheorie
8
Estimation
7
Schätzung
7
Volatilität
7
Börsenkurs
5
Share price
5
Stochastischer Prozess
5
Time series analysis
5
Zeitreihenanalyse
5
High-frequency data
4
Stochastic volatility
4
Capital income
3
Kapitaleinkommen
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Martingal
2
Martingale
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Semimartingale
2
Semiparametric efficiency
2
Specification test
2
ARCH model
1
ARCH-Modell
1
Asymmetric volatility activity
1
Bayes-Statistik
1
Bayesian inference
1
Bootstrap
1
Bootstrap approach
1
Bootstrap-Verfahren
1
CAPM
1
Efficiency
1
Effizienz
1
High frequency data
1
Induktive Statistik
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Article in journal
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English
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Tauchen, George Eugene
Su, Liangjun
10
Todorov, Viktor
10
Baltagi, Badi H.
7
Andersen, Torben
6
Bai, Jushan
6
Li, Jia
6
Li, Kunpeng
6
Zakoïan, Jean-Michel
6
Francq, Christian
5
Gao, Jiti
5
Hsiao, Cheng
5
Kim, Donggyu
5
Lee, Lung-fei
5
Li, Yingying
5
Peng, Bin
5
Phillips, Peter C. B.
5
Li, Guodong
4
Mykland, Per A.
4
Park, Joon Y.
4
Robinson, Peter M.
4
Sarafidis, Vasilis
4
Westerlund, Joakim
4
Yu, Jihai
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Feng, Guohua
3
Fernández-Val, Iván
3
Jin, Sainan
3
Kao, Chihwa
3
Li, Dong
3
Linton, Oliver
3
Meddahi, Nour
3
Pesaran, M. Hashem
3
Sun, Yiguo
3
Sun, Yixiao
3
Trapani, Lorenzo
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Weidner, Martin
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Journal of econometrics
Computation and estimation in finance and economics
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics : open access journal
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Macroeconomic dynamics
1
Nonparametric dynamic modelling
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
6
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
7
Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
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