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subject:"Volatility"
type_genre:"Article in journal"
~person:"Phillips, Peter C. B."
~person:"Todorov, Viktor"
~subject:"Bayesian inference"
~subject:"Stochastischer Prozess"
~type:"article"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Stochastischer Prozess
Estimation theory
103
Schätztheorie
103
Time series analysis
35
Zeitreihenanalyse
35
Theorie
30
Theory
30
Regression analysis
22
Regressionsanalyse
22
Estimation
18
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18
Nichtparametrisches Verfahren
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Article in journal
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18
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Phillips, Peter C. B.
Todorov, Viktor
Kumar, Dilip
16
Tsionas, Efthymios G.
15
Maheswaran, S.
14
Li, Jia
12
Tauchen, George Eugene
12
Zhang, Xinyu
10
Koop, Gary
9
Zhang, Xibin
9
Francq, Christian
8
Liu, Zhi
8
Teräsvirta, Timo
8
Andersen, Torben
7
Gallant, A. Ronald
7
Kim, Donggyu
7
Koopman, Siem Jan
7
Li, Yingying
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
Allenby, Greg M.
6
Fan, Jianqing
6
Ghysels, Eric
6
Han, Xiaoyi
6
Wang, Yazhen
6
Bauwens, Luc
5
Bollerslev, Tim
5
Elliott, Robert J.
5
Gao, Jiti
5
Hafner, Christian M.
5
Hurn, Stan
5
Jing, Bingyi
5
Li, Dong
5
Linton, Oliver
5
Lopes, Hedibert Freitas
5
Lucas, André
5
McAleer, Michael
5
Park, Joon Y.
5
Simoni, Anna
5
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Journal of econometrics
13
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 business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
18
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1
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:
2
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:
3
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
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
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:
6
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:
7
A frequentist approach to Bayesian asymptotics
Cheng, Tingting
;
Gao, Jiti
;
Phillips, Peter C. B.
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 359-378
Persistent link: https://www.econbiz.de/10012110394
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
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:
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