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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Jia"
~person:"Taylor, Stephen"
~person:"Todorov, Viktor"
~subject:"Induktive Statistik"
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Search: subject_exact:"Estimation theory"
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Volatility
Induktive Statistik
Estimation theory
25
Schätztheorie
25
Volatilität
22
Estimation
16
Schätzung
16
Time series analysis
14
Zeitreihenanalyse
14
Börsenkurs
13
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13
Stochastic process
9
Stochastischer Prozess
9
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7
High-frequency data
7
Kapitaleinkommen
7
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
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5
Market microstructure
4
Marktmikrostruktur
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Noise Trading
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Noise trading
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Jumps
3
Martingal
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Martingale
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Option pricing theory
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Optionspreistheorie
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3
Regressionsanalyse
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Specification test
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Adaptive estimation
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English
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Li, Jia
Taylor, Stephen
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
14
Chernozhukov, Victor
10
Tauchen, George Eugene
10
Andersen, Torben
8
Andrews, Donald W. K.
8
Francq, Christian
8
Li, Yingying
8
Teräsvirta, Timo
8
Fan, Jianqing
7
Inoue, Atsushi
7
Khalaf, Lynda
7
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Shi, Xiaoxia
7
Dufour, Jean-Marie
6
Fan, Yanqin
6
Ghysels, Eric
6
Jing, Bingyi
6
Kilian, Lutz
6
Linton, Oliver
6
Simar, Léopold
6
Wang, Yazhen
6
Wilson, Paul W.
6
Zakoïan, Jean-Michel
6
Bollerslev, Tim
5
Bugni, Federico A.
5
Cattaneo, Matias D.
5
Hafner, Christian M.
5
Hansen, Christian Bailey
5
Koopman, Siem Jan
5
Phillips, Peter C. B.
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Boswijk, Herman Peter
4
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4
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Journal of econometrics
12
Econometric theory
2
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 banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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Journal of financial econometrics
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ECONIS (ZBW)
22
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11
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:
12
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:
13
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:
14
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
15
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
16
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
17
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
18
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
Saved in:
19
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
20
Distinguishing short and long memory volatility specifications
Pong, Shiuyan
;
Shackleton, Mark B.
;
Taylor, Stephen
- In:
The econometrics journal
11
(
2008
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10003802446
Saved in:
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