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subject:"Volatility"
type_genre:"Article in journal"
~person:"Doğan, Osman"
~person:"Liu, Zhi"
~person:"Zakoïan, Jean-Michel"
~subject:"Statistical test"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Estimation theory
66
Schätztheorie
66
ARCH model
23
ARCH-Modell
23
Theorie
23
Theory
23
Time series analysis
17
Zeitreihenanalyse
17
Estimation
16
Schätzung
16
Volatilität
14
Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
Autocorrelation
8
Autokorrelation
8
Risikomaß
8
Risk measure
8
Statistischer Test
8
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7
Share price
7
Stochastic process
7
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Regional economics
6
Regionalökonomik
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6
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5
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Market microstructure
5
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5
France
4
Frankreich
4
Method of moments
4
Momentenmethode
4
Noise Trading
4
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4
Capital income
3
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3
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21
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21
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English
22
Author
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Doğan, Osman
Liu, Zhi
Zakoïan, Jean-Michel
Phillips, Peter C. B.
29
Sentana, Enrique
26
Dufour, Jean-Marie
19
Cai, Zongwu
18
Amengual, Dante
17
Canay, Ivan A.
17
Shi, Xiaoxia
17
Teräsvirta, Timo
17
Kumar, Dilip
16
Todorov, Viktor
16
Fiorentini, Gabriele
15
Hsu, Yu-Chin
15
Härdle, Wolfgang
15
Li, Jia
15
Koopman, Siem Jan
14
Kristensen, Dennis
14
Maheswaran, S.
14
Tauchen, George Eugene
14
Bugni, Federico A.
13
Kleibergen, Frank
13
Sun, Yixiao
13
Andrews, Donald W. K.
12
Bera, Anil K.
12
Baltagi, Badi H.
11
Chernozhukov, Victor
11
Guggenberger, Patrik
11
Khalaf, Lynda
11
Taylor, Robert
11
Andersen, Torben
10
Francq, Christian
10
Ghysels, Eric
10
Hafner, Christian M.
10
Horowitz, Joel
10
Lucas, André
10
McAleer, Michael
10
Perron, Pierre
10
Su, Liangjun
10
White, Halbert
10
Xu, Yongdeng
10
Andrews, Isaiah
9
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Journal of econometrics
6
Regional science & urban economics
2
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
Finance and stochastics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometric methods
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
1
Spatial economic analysis : the journal of the Regional Studies Association
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Série des documents de travail
1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics journal
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ECONIS (ZBW)
22
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22
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1
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
2
A new test for non-linear hypotheses under distributional and local parametric misspecification
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 669-685
Persistent link: https://www.econbiz.de/10014506833
Saved in:
3
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
4
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
5
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
6
Specification tests for spatial panel data models
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
; …
-
2020
Persistent link: https://www.econbiz.de/10012271721
Saved in:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
Robust LM tests for spatial dynamic panel data models
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
; …
- In:
Regional science & urban economics
76
(
2019
),
pp. 47-66
Persistent link: https://www.econbiz.de/10012267310
Saved in:
9
Testing spatial dependence in spatial models with endogenous weights matrices
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Journal of econometric methods
8
(
2019
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012022977
Saved in:
10
Simple tests for endogeneity of spatial weights matrices
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Regional science & urban economics
69
(
2018
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012108149
Saved in:
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