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~isPartOf:"Journal of econometrics"
~subject:"Noise trading"
~subject:"Schätztheorie"
~subject:"Theorie"
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Noise trading
Schätztheorie
Theorie
Theory
11
Volatility
11
Volatilität
11
Estimation theory
9
CAPM
5
Estimation
5
Schätzung
5
Market microstructure
4
Marktmikrostruktur
4
Option pricing theory
4
Optionspreistheorie
4
Time series analysis
4
Zeitreihenanalyse
4
Capital income
3
Jumps
3
Kapitaleinkommen
3
Stochastic process
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Stochastischer Prozess
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Börsenkurs
2
Factor analysis
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Faktorenanalyse
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Market microstructure noise
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Nichtparametrisches Verfahren
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Noise Trading
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Nonparametric statistics
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Portfolio selection
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Risikoprämie
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Risk premium
2
Share price
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Statistical test
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Aït-Sahalia, Yacine
20
Mykland, Per A.
3
Xiu, Dacheng
3
Lo, Andrew W.
2
Mancini, Loriano
2
Park, Joon Y.
2
Zhang, Lan
2
Amengual, Dante
1
Bickel, Peter J.
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Brunetti, Celso
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Jacod, Jean
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Kalnina, Ilze
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Karamann, Mustafa
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Li, Jia
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Manresa, Elena
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Journal of econometrics
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20
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18
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17
The journal of finance : the journal of the American Finance Association
6
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1
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
2
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
3
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
4
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
5
Special issue: annals issue in honor of Jerry A. Hausman
Aït-Sahalia, Yacine
(
ed.
);
Lo, Andrew W.
(
ed.
); …
-
2019
Persistent link: https://www.econbiz.de/10012303793
Saved in:
6
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
7
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
Saved in:
8
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
9
Stationarity-based specification tests for diffusions when the process is nonstationary
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 279-292
Persistent link: https://www.econbiz.de/10009673191
Saved in:
10
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
Saved in:
1
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