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subject:"Volatility"
type_genre:"Article in journal"
~person:"Aït-Sahalia, Yacine"
~person:"Zheng, Xinghua"
~subject:"Instrumental variables"
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Search: subject_exact:"Estimation theory"
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Volatility
Instrumental variables
Estimation theory
21
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6
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5
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Aït-Sahalia, Yacine
Zheng, Xinghua
Kumar, Dilip
16
Maheswaran, S.
14
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12
Li, Jia
11
Tauchen, George Eugene
10
Florens, Jean-Pierre
9
Chao, John C.
8
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8
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8
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7
Francq, Christian
7
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7
Kim, Donggyu
7
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7
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7
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7
Hansen, Christian Bailey
6
Wang, Yazhen
6
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5
Bollerslev, Tim
5
Fan, Jianqing
5
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5
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5
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5
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5
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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 the American Statistical Association : JASA
1
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1
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:
2
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:
3
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:
4
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:
5
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
6
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
Saved in:
7
Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Peng, Heng
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
487
,
pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
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