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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Jia"
~type_genre:"Conference paper"
~type_genre:"Graue Literatur"
~type_genre:"Konferenzschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
16
Schätztheorie
16
Volatilität
13
Time series analysis
12
Zeitreihenanalyse
12
Estimation
9
Schätzung
9
Börsenkurs
8
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8
Capital income
6
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6
Nichtparametrisches Verfahren
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Nonparametric statistics
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5
Stochastic process
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11
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13
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Li, Jia
Kumar, Dilip
16
Todorov, Viktor
16
Koopman, Siem Jan
14
Maheswaran, S.
14
Tauchen, George Eugene
14
Teräsvirta, Timo
14
Andersen, Torben
10
Hafner, Christian M.
10
Härdle, Wolfgang
9
Lucas, André
9
Rodriguez, Gabriel
9
Brandt, Michael W.
8
Li, Yingying
8
Linton, Oliver
8
Silvennoinen, Annastiina
8
Bibinger, Markus
7
Daníelsson, Jón
7
Diebold, Francis X.
7
Francq, Christian
7
Ghysels, Eric
7
Gouriéroux, Christian
7
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Spokojnyj, Vladimir G.
7
Bollerslev, Tim
6
Clements, Adam
6
Hautsch, Nikolaus
6
Reiß, Markus
6
Sibbertsen, Philipp
6
Taylor, Robert
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Alizadeh, Sassan
5
Amado, Cristina
5
Bauwens, Luc
5
Cavaliere, Giuseppe
5
Chan, Joshua
5
Corsi, Fulvio
5
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Journal of econometrics
6
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
Cowles Foundation discussion paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Working paper
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ECONIS (ZBW)
13
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1
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013326614
Saved in:
2
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
3
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
6
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
7
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:
8
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:
9
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:
10
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:
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