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~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"Oxford bulletin of economics and statistics"
~language:"eng"
~language:"lit"
~language:"und"
~person:"Li, Yingying"
~subject:"Geldpolitik"
~subject:"Großbritannien"
~subject:"Volatility"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Fallstudie"
~type_genre:"Statistik"
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Geldpolitik
Großbritannien
Volatility
Volatilität
Estimation theory
7
Schätztheorie
7
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Time series analysis
5
Zeitreihenanalyse
5
Market microstructure noise
4
Capital income
3
High frequency data
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Integrated volatility
3
Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Minimum variance portfolio
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Central limit theorem
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Dependent noise
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Efficiency
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Endogenous time
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Li, Yingying
Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Pesaran, M. Hashem
7
Barigozzi, Matteo
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Ma, Feng
6
Machin, Stephen
6
Minford, Patrick
6
Shephard, Neil G.
6
Stewart, Mark B.
6
Taylor, Robert
6
Asai, Manabu
5
Brooks, Chris
5
Dufrénot, Gilles
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Gupta, Rangan
5
Hall, Stephen G.
5
Hallin, Marc
5
Jawadi, Fredj
5
Linton, Oliver
5
Marcellino, Massimiliano
5
Montes, Gabriel Caldas
5
Rahbek, Anders
5
Ratti, Ronald A.
5
Renault, Eric
5
Sloane, Peter J.
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Todorova, Neda
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Economic modelling
Journal of econometrics
Oxford bulletin of economics and statistics
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
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ECONIS (ZBW)
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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
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
3
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
4
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
5
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
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