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subject:"Volatility"
type_genre:"Article in journal"
~person:"Gouriéroux, Christian"
~person:"Liu, Zhi"
~subject:"Estimation"
~subject:"Noise Trading"
~subject:"Statistical distribution"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Noise Trading
Statistical distribution
Estimation theory
39
Schätztheorie
39
Theorie
18
Theory
18
Schätzung
10
Volatilität
9
Time series analysis
8
Zeitreihenanalyse
8
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Market microstructure
4
Marktmikrostruktur
4
VAR model
4
VAR-Modell
4
Central limit theorem
3
Identification
3
Martingal
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Martingale
3
Noise trading
3
Schock
3
Shock
3
Statistical theory
3
Statistische Methodenlehre
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Capital income
2
Correlation
2
Credit risk
2
Econometrics
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2
Generalized covariance estimator
2
High frequency data
2
Induktive Statistik
2
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2
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2
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2
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2
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14
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14
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9
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9
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9
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2
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English
13
French
1
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Gouriéroux, Christian
Liu, Zhi
Linton, Oliver
17
Kumar, Dilip
16
Maheswaran, S.
16
Kumbhakar, Subal
15
Phillips, Peter C. B.
14
Gao, Jiti
13
Su, Liangjun
13
Tauchen, George Eugene
13
Todorov, Viktor
12
Li, Jia
11
Parmeter, Christopher F.
11
Francq, Christian
9
Li, Qi
9
Nadarajah, Saralees
9
Park, Joon Y.
9
Racine, Jeffrey
9
Tsionas, Efthymios G.
9
White, Halbert
9
Baltagi, Badi H.
8
Fan, Jianqing
8
Ghysels, Eric
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Kapetanios, George
8
Koop, Gary
8
Lee, Lung-fei
8
Ramírez, Miguel D.
8
Teräsvirta, Timo
8
Wu, Ximing
8
Andersen, Torben
7
Bollerslev, Tim
7
Cai, Zongwu
7
Hafner, Christian M.
7
Härdle, Wolfgang
7
Jochmans, Koen
7
Kim, Donggyu
7
Koopman, Siem Jan
7
Li, Yingying
7
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Journal of econometrics
5
Econometric theory
1
Finance and stochastics
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of the American Statistical Association : JASA
1
L' Actualité économique : revue trimest.
1
L' économétrie appliquée
1
The North American journal of economics and finance : a journal of financial economics studies
1
The review of economic studies : RES
1
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ECONIS (ZBW)
14
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1
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:
2
Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
The review of economic studies : RES
87
(
2020
)
4
,
pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
Saved in:
3
Least impulse response estimator for stress test exercises
Gouriéroux, Christian
;
Lu, Yang
- In:
Journal of banking & finance
103
(
2019
),
pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
Saved in:
4
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
5
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
6
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
7
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
Saved in:
8
Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 118-134
Persistent link: https://www.econbiz.de/10011897706
Saved in:
9
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
10
On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
3
,
pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
Saved in:
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