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subject:"Volatility"
type_genre:"Article in journal"
~person:"Liu, Zhi"
~person:"Yu, Jihai"
~subject:"Panel study"
~type_genre:"Bibliografie enthalten"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
Panel study
Estimation theory
22
Schätztheorie
22
Estimation
12
Panel
12
Schätzung
12
Räumliche Interaktion
9
Spatial interaction
9
Volatilität
8
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Method of moments
6
Momentenmethode
6
Autocorrelation
5
Autokorrelation
5
Fixed effects
5
Market microstructure
5
Marktmikrostruktur
5
Spatial autoregression
5
Time series analysis
5
Zeitreihenanalyse
5
Noise Trading
4
Noise trading
4
Bias
3
Central limit theorem
3
Martingal
3
Martingale
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Quasi-maximum likelihood estimation
3
Regional economics
3
Regionalökonomik
3
Systematischer Fehler
3
spatial autoregression
3
Bias correction
2
Capital income
2
Dynamic panels
2
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2
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2
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19
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Article in journal
Bibliografie enthalten
Übersichtsarbeit
Aufsatz in Zeitschrift
20
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1
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1
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English
20
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Liu, Zhi
Yu, Jihai
Baltagi, Badi H.
37
Su, Liangjun
19
Westerlund, Joakim
18
Kumar, Dilip
16
Lee, Lung-fei
16
Bai, Jushan
14
Maheswaran, S.
14
Gao, Jiti
13
Li, Jia
13
Todorov, Viktor
12
Hayakawa, Kazuhiko
11
Kao, Chihwa
10
Kumbhakar, Subal
10
Pirotte, Alain
10
Tauchen, George Eugene
10
Zhou, Qiankun
10
Han, Chirok
9
Hsiao, Cheng
9
Jochmans, Koen
9
Peng, Bin
9
Pesaran, M. Hashem
9
Phillips, Peter C. B.
9
Sarafidis, Vasilis
9
Juodis, Artūras
8
Teräsvirta, Timo
8
Yang, Zhenlin
8
Andersen, Torben
7
Bresson, Georges
7
Francq, Christian
7
Hahn, Jinyong
7
Kim, Donggyu
7
Li, Yingying
7
Moon, Hyungsik Roger
7
Mykland, Per A.
7
Okui, Ryo
7
Weidner, Martin
7
Zhang, Yonghui
7
Ai, Chunrong
6
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Journal of econometrics
5
Econometric theory
2
Economics letters
2
The econometrics journal
2
Econometric reviews
1
Finance and stochastics
1
Foundations and trends in econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Journal of the American Statistical Association : JASA
1
Regional science & urban economics
1
Spatial economic analysis : the journal of the Regional Studies Association
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
20
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1
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
2
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
3
Sequential and efficient GMM estimation of dynamic short panel data models
Jin, Fei
;
Lee, Lung-fei
;
Yu, Jihai
- In:
Econometric reviews
40
(
2021
)
10
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10012624570
Saved in:
4
First difference estimation of spatial dynamic panel data models with fixed effects
Jin, Fei
;
Lee, Lung-fei
;
Yu, Jihai
- In:
Economics letters
189
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012228071
Saved in:
5
Initial conditions of dynamic panel data models : on within and between equations
Lee, Lung-fei
;
Yu, Jihai
- In:
The econometrics journal
23
(
2020
)
1
,
pp. 115-136
Persistent link: https://www.econbiz.de/10012167249
Saved in:
6
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
7
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
8
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
Saved in:
9
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
10
QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices
Qu, Xi
;
Lee, Lung-fei
;
Yu, Jihai
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 173-201
Persistent link: https://www.econbiz.de/10011818351
Saved in:
1
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