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subject:"Volatility"
type_genre:"Article in journal"
~person:"Ghysels, Eric"
~person:"Zheng, Xinghua"
~subject:"Instrumental variables"
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Search: subject_exact:"Estimation theory"
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Volatility
Instrumental variables
Estimation theory
26
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26
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11
Zeitreihenanalyse
11
Volatilität
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Ghysels, Eric
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
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8
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8
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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
Hafner, Christian M.
5
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5
Jing, Bingyi
5
Koopman, Siem Jan
5
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5
Taylor, Stephen
5
Woutersen, Tiemen
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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
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
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4
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Journal of econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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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
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
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:
4
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:
5
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:
6
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:
7
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:
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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