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subject:"Volatility"
type_genre:"Article in journal"
~language:"eng"
~person:"Li, Yingying"
~person:"Zheng, Xinghua"
~subject:"Instrumental variables"
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Search: subject_exact:"Estimation theory"
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Volatility
Instrumental variables
Estimation theory
10
Schätztheorie
10
Market microstructure
7
Marktmikrostruktur
7
Time series analysis
7
Volatilität
7
Zeitreihenanalyse
7
Noise Trading
6
Noise trading
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5
Analysis of variance
3
Börsenkurs
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Integrated volatility
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Kapitaleinkommen
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CLIME estimator
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Li, Yingying
Zheng, Xinghua
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Florens, Jean-Pierre
9
Chao, John C.
8
Newey, Whitney K.
8
Swanson, Norman R.
8
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Horowitz, Joel
7
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Hansen, Christian Bailey
6
Wang, Yazhen
6
Andrews, Isaiah
5
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hausman, Jerry A.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Poskitt, Donald Stephen
5
Taylor, Stephen
5
Woutersen, Tiemen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Breunig, Christoph
4
Carrasco, Marine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Fève, Frédérique
4
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Journal of econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
7
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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
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
3
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
4
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
5
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
6
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
7
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
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