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~isPartOf:"Journal of econometrics"
~person:"Herwartz, Helmut"
~person:"Li, Yingying"
~subject:"Geldpolitik"
~subject:"Multivariate Analyse"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Search: subject:"volatility"
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Geldpolitik
Multivariate Analyse
Option pricing theory
Schätzung
Volatility
6
Volatilität
6
Estimation theory
5
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Schätztheorie
5
Time series analysis
5
Zeitreihenanalyse
5
Market microstructure noise
4
High frequency data
3
Integrated volatility
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
ARCH model
2
ARCH-Modell
2
Börsenkurs
2
Capital income
2
Estimation
2
High-frequency data
2
Kapitaleinkommen
2
Realized volatility
2
Share price
2
Central limit theorem
1
Dependent noise
1
Efficiency
1
Endogenous time
1
Extreme return persistence
1
Forecasting model
1
Identifying assumptions
1
Innovation
1
Integrated volatility estimation
1
MGARCH
1
Martingal
1
Martingale
1
Microstructure noise
1
Modellierung
1
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English
3
Author
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Herwartz, Helmut
Li, Yingying
Todorov, Viktor
14
Bollerslev, Tim
9
Tauchen, George Eugene
8
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Kim, Donggyu
5
Li, Jia
5
Andersen, Torben
4
McAleer, Michael
4
Asai, Manabu
3
Francq, Christian
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Patton, Andrew J.
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Amengual, Dante
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Christensen, Kim
2
Creal, Drew
2
Engle, Robert F.
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Hallin, Marc
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Meddahi, Nour
2
Paolella, Marc S.
2
Park, Joon Y.
2
Park, Yang-Ho
2
Petrova, Katerina
2
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
5
Applied quantitative finance
2
An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
1
Applied quantitative finance : theory and computational tools
1
CORE discussion papers : DP
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
Econometric Institute research papers
1
Econometric reviews
1
Economics working paper
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of applied economics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international financial markets, institutions & money
1
Macroeconomic dynamics
1
Oxford bulletin of economics and statistics
1
Review of world economics
1
SFB 373 Discussion Paper
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
1
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ECONIS (ZBW)
3
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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
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
3
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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