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subject:"Volatility"
type_genre:"Article in journal"
~person:"Jin, Sainan"
~person:"Li, Yingying"
~subject:"Statistical test"
~subject:"Statistischer Test"
~type_genre:"Sammelwerk"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Statistischer Test
Estimation theory
21
Schätztheorie
21
Market microstructure
7
Marktmikrostruktur
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Time series analysis
7
Volatilität
7
Zeitreihenanalyse
7
Noise Trading
6
Noise trading
6
Market microstructure noise
5
Panel
5
Panel study
5
Börsenkurs
4
Capital income
4
Estimation
4
Kapitaleinkommen
4
Schätzung
4
Share price
4
Autocorrelation
3
Autokorrelation
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High frequency data
3
Integrated volatility
3
Analysis of variance
2
Common factors
2
Factor analysis
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Forecasting model
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Heteroscedasticity
2
Heteroskedastizität
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High dimension
2
High-frequency data
2
Interactive fixed effects
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Article in journal
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Jin, Sainan
Li, Yingying
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Bera, Anil K.
11
Li, Jia
11
Cai, Zongwu
10
Francq, Christian
10
Shi, Xiaoxia
10
Tauchen, George Eugene
10
Baltagi, Badi H.
9
Dufour, Jean-Marie
9
Phillips, Peter C. B.
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Chen, Yi-ting
8
Perron, Pierre
8
Su, Liangjun
8
White, Halbert
8
Andersen, Torben
7
Andrews, Donald W. K.
7
Demetrescu, Matei
7
Escanciano, Juan Carlos
7
Ghysels, Eric
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Kleibergen, Frank
7
Linton, Oliver
7
Liu, Zhi
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
Aït-Sahalia, Yacine
6
Canay, Ivan A.
6
Doğan, Osman
6
Fan, Jianqing
6
Hsu, Yu-Chin
6
Kao, Chihwa
6
Khalaf, Lynda
6
Kristensen, Dennis
6
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Journal of econometrics
6
Econometric reviews
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
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
13
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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
Robust forecast superiority testing with an application to assessing pools of expert forecasters
Corradi, Valentina
;
Jin, Sainan
;
Swanson, Norman R.
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 596-622
Persistent link: https://www.econbiz.de/10014288029
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Specification test for panel data models with interactive fixed effects
Su, Liangjun
;
Jin, Sainan
;
Zhang, Yonghui
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 222-244
Persistent link: https://www.econbiz.de/10011349506
Saved in:
9
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:
10
Nonparametric testing for anomaly effects in empirical asset pricing models
Jin, Sainan
;
Su, Liangjun
;
Zhang, Yonghui
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
1
,
pp. 9-36
Persistent link: https://www.econbiz.de/10011285985
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