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subject:"Volatility"
type_genre:"Article in journal"
~person:"Ghysels, Eric"
~person:"Jacod, Jean"
~subject:"Instrumental variables"
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Search: subject_exact:"Estimation theory"
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Volatility
Instrumental variables
Estimation theory
25
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10
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10
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Ghysels, Eric
Jacod, Jean
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Florens, Jean-Pierre
9
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8
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8
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8
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8
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8
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7
Francq, Christian
7
Horowitz, Joel
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
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6
Wang, Yazhen
6
Andrews, Isaiah
5
Bollerslev, Tim
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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5
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5
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Zakoïan, Jean-Michel
5
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4
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4
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4
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4
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4
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4
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4
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4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
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 financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
Saved in:
2
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:
3
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
4
Moment-implied densities : properties and applications
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
Saved in:
5
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:
6
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena
;
Ghysels, Eric
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
Saved in:
7
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
8
Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 363-376
Persistent link: https://www.econbiz.de/10001695282
Saved in:
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