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subject:"Volatility"
type_genre:"Article in journal"
~person:"Escanciano, Juan Carlos"
~person:"Li, Yingying"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistischer Test
Estimation theory
30
Schätztheorie
30
Nichtparametrisches Verfahren
16
Nonparametric statistics
16
Time series analysis
10
Zeitreihenanalyse
10
Volatilität
8
Estimation
7
Market microstructure
7
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7
Regression analysis
7
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Statistical test
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3
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Sampling
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generalized spectrum
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identification
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Empirical process theory
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High dimension
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IV-Schätzung
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Article in journal
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Escanciano, Juan Carlos
Li, Yingying
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Bera, Anil K.
11
Cai, Zongwu
10
Francq, Christian
10
Shi, Xiaoxia
10
Tauchen, George Eugene
10
Baltagi, Badi H.
9
Dufour, Jean-Marie
9
Phillips, Peter C. B.
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Chen, Yi-ting
8
Ghysels, Eric
8
Liu, Zhi
8
Perron, Pierre
8
Su, Liangjun
8
White, Halbert
8
Andersen, Torben
7
Andrews, Donald W. K.
7
Demetrescu, Matei
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Kleibergen, Frank
7
Linton, Oliver
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
Canay, Ivan A.
6
Doğan, Osman
6
Fan, Jianqing
6
Hsu, Yu-Chin
6
Jin, Sainan
6
Kao, Chihwa
6
Khalaf, Lynda
6
Kristensen, Dennis
6
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Journal of econometrics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
14
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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
Optimal linear instrumental variables approximations
Escanciano, Juan Carlos
;
Li, Wei
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 223-246
Persistent link: https://www.econbiz.de/10012618821
Saved in:
4
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:
5
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:
6
Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos
;
Pardo-Fernández, Juan Carlos
; …
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
Saved in:
7
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:
8
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:
9
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:
10
A nonparametric distribution-free test for serial independence of errors
Du, Zaichao
;
Escanciano, Juan Carlos
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 1011-1034
Persistent link: https://www.econbiz.de/10011483448
Saved in:
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