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subject:"Volatility"
type_genre:"Article in journal"
~person:"Aït-Sahalia, Yacine"
~person:"Koopman, Siem Jan"
~person:"Park, Joon Y."
~person:"Todorov, Viktor"
~type_genre:"Aufsatz im Buch"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
60
Schätztheorie
60
Volatilität
26
Estimation
21
Schätzung
21
Time series analysis
20
Zeitreihenanalyse
20
Stochastic process
17
Stochastischer Prozess
17
Theorie
12
Theory
12
Börsenkurs
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Share price
9
Regression analysis
8
Regressionsanalyse
8
Capital income
7
Kapitaleinkommen
7
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
Option pricing theory
7
Optionspreistheorie
7
Stochastic volatility
7
Forecasting model
6
Prognoseverfahren
6
High-frequency data
5
Sampling
5
Statistical distribution
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Statistische Verteilung
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Stichprobenerhebung
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4
Monte-Carlo-Simulation
4
Statistical test
4
Statistischer Test
4
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3
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3
Market microstructure
3
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Article
26
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Article in journal
Aufsatz im Buch
Aufsatz in Zeitschrift
25
Arbeitspapier
14
Graue Literatur
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Aït-Sahalia, Yacine
Koopman, Siem Jan
Park, Joon Y.
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
11
Tauchen, George Eugene
10
Teräsvirta, Timo
9
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Ghysels, Eric
6
Hafner, Christian M.
6
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Jing, Bingyi
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Clements, Adam
4
Dufour, Jean-Marie
4
Elliott, Robert J.
4
Feng, Yuanhua
4
Fičura, Milan
4
Hwang, Eunju
4
Härdle, Wolfgang
4
Li, Wai Keung
4
Mancino, Maria Elvira
4
McAleer, Michael
4
Nolte, Ingmar
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Song, Yuping
4
Sucarrat, Genaro
4
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Journal of econometrics
18
Econometric theory
2
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
26
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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
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:
5
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
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
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
8
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
9
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:
10
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
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