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subject:"Volatility"
type_genre:"Article in journal"
~person:"Breunig, Christoph"
~person:"Zheng, Xinghua"
~subject:"Instrumental variables"
~subject:"Integrated volatility"
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Search: subject_exact:"Estimation theory"
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Volatility
Instrumental variables
Integrated volatility
Estimation theory
15
Schätztheorie
15
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Regression analysis
5
Regressionsanalyse
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Time series analysis
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Estimation
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IV-Schätzung
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Analysis of variance
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Market microstructure
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Market microstructure noise
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Marktmikrostruktur
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Noise Trading
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Volatilität
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Breunig, Christoph
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
Li, Yingying
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
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Taylor, Stephen
5
Woutersen, Tiemen
5
Zakoïan, Jean-Michel
5
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4
Aït-Sahalia, Yacine
4
Carrasco, Marine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Fève, Frédérique
4
Hwang, Eunju
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Journal of econometrics
4
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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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1
Nonparametric regression with selectively missing covariates
Breunig, Christoph
;
Haan, Peter
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 28-52
Persistent link: https://www.econbiz.de/10012619957
Saved in:
2
Ill-posed estimation in high-dimensional models with instrumental variables
Breunig, Christoph
;
Mammen, Enno
;
Simoni, Anna
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 171-200
Persistent link: https://www.econbiz.de/10012483200
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
Testing missing at random using instrumental variables
Breunig, Christoph
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 223-234
Persistent link: https://www.econbiz.de/10012176614
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
Adaptive estimation of functionals in nonparametric instrumental regression
Breunig, Christoph
;
Johannes, Jan
- In:
Econometric theory
32
(
2016
)
3
,
pp. 612-654
Persistent link: https://www.econbiz.de/10011606816
Saved in:
7
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:
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