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subject:"Volatility"
type_genre:"Article in journal"
~person:"Liu, Zhi"
~subject:"Statistical test"
~subject:"Statistischer Test"
~type_genre:"Bibliography included"
~type_genre:"Book section"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Statistischer Test
Estimation theory
7
Schätztheorie
7
Volatilität
7
Estimation
5
Schätzung
5
Market microstructure
4
Marktmikrostruktur
4
Time series analysis
4
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4
Central limit theorem
3
Martingal
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3
Noise Trading
3
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Capital income
2
High frequency data
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2
Nichtparametrisches Verfahren
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Induktive Statistik
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Integrated volatility
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Itô semimartingale
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Liu, Zhi
Kumar, Dilip
16
Maheswaran, S.
14
Dufour, Jean-Marie
12
Todorov, Viktor
12
Bera, Anil K.
11
Li, Jia
11
Baltagi, Badi H.
10
Cai, Zongwu
10
Francq, Christian
10
Shi, Xiaoxia
10
Tauchen, George Eugene
10
Teräsvirta, Timo
10
White, Halbert
10
Phillips, Peter C. B.
9
Su, Liangjun
9
Sun, Yixiao
9
Chen, Yi-ting
8
Ghysels, Eric
8
Perron, Pierre
8
Andersen, Torben
7
Andrews, Donald W. K.
7
Demetrescu, Matei
7
Escanciano, Juan Carlos
7
Guggenberger, Patrik
7
Hafner, Christian M.
7
Kim, Donggyu
7
Kleibergen, Frank
7
Li, Yingying
7
Linton, Oliver
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
Canay, Ivan A.
6
Doğan, Osman
6
Fan, Jianqing
6
Hsu, Yu-Chin
6
Jin, Sainan
6
Kao, Chihwa
6
Khalaf, Lynda
6
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6
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Econometric theory
1
Finance and stochastics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of financial econometrics
1
Journal of the American Statistical Association : JASA
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
7
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1
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:
2
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:
3
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:
4
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:
5
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:
6
On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
3
,
pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
Saved in:
7
Estimating the jump activity index under noisy observations using high-frequency data
Jing, Bingyi
;
Kong, Xinbing
;
Liu, Zhi
- In:
Journal of the American Statistical Association : JASA
106
(
2011
)
494
,
pp. 558-568
Persistent link: https://www.econbiz.de/10009267673
Saved in:
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