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Realized Volatility When Sampl...
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Renault, Eric
236
Mykland, Per A.
112
Zhang, Lan
96
Li, Yingying
54
Garcia, René
39
Zheng, Xinghua
31
Ait-Sahalia, Yacine
25
Aït-Sahalia, Yacine
24
Antoine, Bertille
21
Ghysels, Eric
20
Gouriéroux, Christian
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Chabi-Yo, Fousseni
17
Florens, Jean-Pierre
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Monfort, Alain
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Touzi, Nizar
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Veredas, David
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Jacod, Jean
10
Meddahi, Nour
10
Lee, Suzanne S.
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RENAULT, Eric
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Arnold, Michael A.
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Comte, Fabienne
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Journal of econometrics
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Journal of Econometrics
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Cahier / Département de Sciences Économiques, Université de Montréal
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Stochastic Processes and their Applications
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ECONIS (ZBW)
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RePEc
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1
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1
Realized volatility when sampling times are possibly endogenous
Li, Yingying
;
Mykland, Per A.
;
Renault, Eric
;
Zhang, Lan
; …
- In:
Econometric theory
30
(
2014
)
3
,
pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
Saved in:
2
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
Li, Yingying
;
Mykland, Per A.
;
Renault, Eric
;
Zhang, Lan
; …
- In:
Econometric Theory
30
(
2014
)
03
,
pp. 580-605
Persistent link: https://www.econbiz.de/10010772971
Saved in:
3
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
4
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
5
Comment on: limit of random measures associated with the increments of a Brownian Semimartingale
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 583-587
Persistent link: https://www.econbiz.de/10011987967
Saved in:
6
Approaching mean-variance efficiency for large portfolios
Ao, Mengmeng
;
Li, Yingying
;
Zheng, Xinghua
- In:
The review of financial studies
32
(
2019
)
7
,
pp. 2890-2919
Persistent link: https://www.econbiz.de/10012033894
Saved in:
7
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
8
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
9
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
Saved in:
10
Stock co-jump networks
Ding, Yi
;
Li, Yingying
;
Liu, Guoli
;
Zheng, Xinghua
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10015074466
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