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subject:"Volatility"
type_genre:"Article in journal"
~person:"Hwang, Eunju"
~person:"Song, Yuping"
~subject:"Nadaraya-Watson estimator"
~type_genre:"Konferenzschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Nadaraya-Watson estimator
Estimation theory
9
Schätztheorie
9
Volatilität
8
Time series analysis
5
Zeitreihenanalyse
5
Börsenkurs
3
Estimation
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Market microstructure noise
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Noise Trading
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Nonparametric statistics
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Realized volatility
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Statistical distribution
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high frequency financial data
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Analysis of variance
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Hwang, Eunju
Song, Yuping
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
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7
Liu, Zhi
7
Mykland, Per A.
7
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
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5
Hafner, Christian M.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Li, Wai Keung
4
Mancino, Maria Elvira
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McAleer, Michael
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Rodriguez, Gabriel
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Shin, Dong-wan
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Silvennoinen, Annastiina
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Sucarrat, Genaro
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Economics letters
3
International journal of financial engineering
1
Journal of econometrics
1
Journal of forecasting
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore
1
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1
Robust nonparametric estimation for the volatility of financial market
Kao, Chunyu
;
Song, Yuping
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014251158
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Nonparametric estimation for second-order jump-diffusion model in high frequency data
Song, Yuping
- In:
The Singapore economic review : journal of the Economic …
65
(
2020
)
4
,
pp. 1033-1063
Persistent link: https://www.econbiz.de/10012509634
Saved in:
4
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
5
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
;
Shin, Dong-wan
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
Saved in:
6
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan
;
Hwang, Eunju
- In:
Economics letters
129
(
2015
),
pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
Saved in:
7
A bootstrap test for jumps in financial economics
Hwang, Eunju
;
Shin, Dong-wan
- In:
Economics letters
125
(
2014
)
1
,
pp. 74-78
Persistent link: https://www.econbiz.de/10010504752
Saved in:
8
A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju
;
Shin, Dong-wan
- In:
Economics letters
121
(
2013
)
3
,
pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
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