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subject:"Volatility"
type_genre:"Article in journal"
~person:"Huang, Jian"
~person:"Li, Yingying"
~subject:"Bootstrap-Verfahren"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Bootstrap-Verfahren
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Estimation theory
13
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13
Market microstructure
7
Marktmikrostruktur
7
Volatilität
7
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Nonparametric statistics
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Huang, Jian
Li, Yingying
Phillips, Peter C. B.
29
Linton, Oliver
20
Taylor, Robert
20
Leybourne, Stephen James
19
Lütkepohl, Helmut
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Teräsvirta, Timo
16
Maheswaran, S.
15
Johansen, Søren
14
Li, Jia
14
Nielsen, Morten Ørregaard
14
Perron, Pierre
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
Ghysels, Eric
12
Todorov, Viktor
12
Chen, Xiaohong
11
Koopman, Siem Jan
11
McAleer, Michael
11
Robinson, Peter M.
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Cavaliere, Giuseppe
10
Francq, Christian
10
Harvey, David I.
10
Koop, Gary
10
Li, Qi
10
Lucas, André
10
Su, Liangjun
10
Zakoïan, Jean-Michel
10
Andrews, Donald W. K.
9
Demetrescu, Matei
9
Fan, Jianqing
9
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Journal of econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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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
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:
4
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:
5
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:
6
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:
7
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:
8
On the bootstrap of the maximum score estimator
Abrevaya, Jason
;
Huang, Jian
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
4
,
pp. 1175-1204
Persistent link: https://www.econbiz.de/10003013634
Saved in:
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