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subject:"Volatility"
type_genre:"Article in journal"
~person:"Mykland, Per A."
~person:"Todorov, Viktor"
~subject:"Bayesian inference"
~subject:"Börsenkurs"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Börsenkurs
Estimation theory
25
Schätztheorie
25
Volatilität
19
Estimation
11
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11
Share price
10
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9
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9
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9
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9
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8
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8
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6
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5
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Mykland, Per A.
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
15
Tsionas, Efthymios G.
13
Tauchen, George Eugene
12
Li, Jia
11
Zhang, Xibin
9
Zhang, Xinyu
9
Francq, Christian
8
Koopman, Siem Jan
8
Teräsvirta, Timo
8
Zakoïan, Jean-Michel
8
Andersen, Torben
7
Bauwens, Luc
7
Gallant, A. Ronald
7
Ghysels, Eric
7
Kim, Donggyu
7
Koop, Gary
7
Li, Yingying
7
Liu, Zhi
7
Allenby, Greg M.
6
Fan, Jianqing
6
Han, Xiaoyi
6
Shephard, Neil G.
6
Taylor, Stephen
6
Wang, Yazhen
6
Bollerslev, Tim
5
Elliott, Robert J.
5
Engle, Robert F.
5
Faff, Robert W.
5
Fornari, Fabio
5
Hafner, Christian M.
5
Jing, Bingyi
5
Li, Wai Keung
5
Linton, Oliver
5
Lopes, Hedibert Freitas
5
Nolte, Ingmar
5
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5
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Journal of econometrics
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Econometric theory
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
19
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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
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
6
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
7
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
8
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:
9
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:
10
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
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