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Search: subject:"Quasi-maximum likelihood estimator"
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Zeitreihenanalyse
Estimation theory
17
Schätztheorie
17
Quasi-maximum likelihood estimator
15
quasi-maximum likelihood estimator
13
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
Börsenkurs
7
Schätzung
7
Share price
7
Estimation
6
Volatility
6
Volatilität
6
ARCH model
5
ARCH-Modell
5
Time series analysis
5
GARCH
3
Integrated volatility
3
Market microstructure
3
Market microstructure noise
3
Marktmikrostruktur
3
Noise Trading
3
Noise trading
3
Stochastic process
3
Stochastischer Prozess
3
Wald test
3
credit risk
3
fractional responses
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loss given default
3
maximum likelihood estimator
3
near epoch dependence
3
nonlinear dynamic model
3
ordinal regression
3
Asymptotic distribution
2
Autocorrelation
2
Autokorrelation
2
Autoregressive conditional duration (ACD) model
2
Boundary of the parameter space
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CAPM
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Dirichlet regression
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English
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Clinet, Simon
2
Kim, Donggyu
2
Potiron, Yoann
2
Fan, Jianqing
1
Sin, Chor-yiu
1
Wang, Yazhen
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Journal of econometrics
4
Annals of financial economics
1
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ECONIS (ZBW)
5
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1
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
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2
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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3
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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4
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
5
QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation
Sin, Chor-yiu
- In:
Annals of financial economics
9
(
2014
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10010489087
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