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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Todorov, Viktor"
~subject:"Bayes-Statistik"
~subject:"Martingale"
~subject:"State space model"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayes-Statistik
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Estimation theory
25
Schätztheorie
25
Volatilität
17
Time series analysis
15
Zeitreihenanalyse
15
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12
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12
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10
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Koopman, Siem Jan
Todorov, Viktor
Kumar, Dilip
17
Maheswaran, S.
14
Tsionas, Efthymios G.
13
Li, Jia
11
Tauchen, George Eugene
11
Zhang, Xibin
9
Zhang, Xinyu
9
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Koop, Gary
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Allenby, Greg M.
6
Bauwens, Luc
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Han, Xiaoyi
6
Wang, Yazhen
6
Bollerslev, Tim
5
Boubaker, Heni
5
Elliott, Robert J.
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Lee, Lung-fei
5
Lopes, Hedibert Freitas
5
Shephard, Neil G.
5
Simoni, Anna
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Ardia, David
4
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Chan, Joshua
4
Chaturvedi, Anoop
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Journal of econometrics
14
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
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
20
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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
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
5
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
6
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
7
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
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