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#64257
Central limit theory
10
Explosive autoregression
3
Instrumentation
3
central limit theory
3
Autocorrelation
2
Autokorrelation
2
Autoregression
2
Cauchy distribution
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Confidence intervals
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Diffusion
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Estimation theory
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Euler approximation
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Functional central limit theory
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Induktive Statistik
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Local to unity
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Mixed normality
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Mixed-Gaussianity
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Moderate deviations
2
Predictive regression
2
Quadratic variation
2
Realised volatility
2
Regression analysis
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Regressionsanalyse
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Schätztheorie
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Statistical inference
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Statistical test
2
Statistischer Test
2
Stochastic volatility
2
Uniform inference
2
Unit root distribution
2
absolute variation
2
high-frequency data
2
quadratic variation
2
semimartingale
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spot volatility
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state-space representation
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stochastic volatility models
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t-statistic
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Ysusi, Carla
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International Journal of Monetary Economics and Finance
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Estimating integrated volatility using absolute high-frequency returns
Ysusi, Carla
- In:
International Journal of Monetary Economics and Finance
1
(
2008
)
2
,
pp. 177-200
estimate integrated spot volatility. A
central
limit
theory
enables us to do filtering and smoothing using model-based and …
Persistent link: https://www.econbiz.de/10005543994
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