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Search: subject:"semiparametric efficiency"
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adaptive estimation
2
asymptotic equivalence
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asynchronous observations
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integrated covolatility matrix
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microstructure noise
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quadratic covariation
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semiparametric efficiency
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Bibinger, Markus
Chen, Xiaohong
30
Linton, Oliver
14
Ai, Chunrong
8
Zhang, Zheng
8
Graham, Bryan S.
7
Hahn, Jinyong
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Lee, Ying-Ying
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Liao, Zhipeng
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Motegi, Kaiji
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Pinto, Cristine Campos de Xavier
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Pouzo, Demian
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Salamh, Mustafa
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Song, Kyungchul
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Wang, Liqun
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Yi, Yanping
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Antoine, Bertille
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Chen, Jiafeng
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Firpo, Sergio
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Frölich, Markus
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Ridder, Geert
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Santos, Andres
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Werker, Bas J.M.
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Ackerberg, Daniel A.
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Ali, Chunrong
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Armstrong, Timothy B.
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Boes, Stefan
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Brown, Nicholas
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Busso, Matias
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Chen, Hui
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DiNardo, John
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Dou, Winston Wei
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Dovonon, Prosper
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Drost, Feike C.
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Hafner, Christian M.
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Hallin, Marc
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Hautsch, Nikolaus
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Hodgson, Douglas
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Hodgson, Douglas J.
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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SFB 649 Discussion Paper
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SFB 649 Discussion Papers
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EconStor
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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2013
out to be optimal. Asymptotic
semiparametric
efficiency
is established in the Cramér-Rao sense. Main findings are that non …
Persistent link: https://www.econbiz.de/10010640724
Saved in:
2
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
2013
out to be optimal. Asymptotic
semiparametric
efficiency
is established in the Cramér-Rao sense. Main findings are that non …
Persistent link: https://www.econbiz.de/10010318777
Saved in:
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