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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~subject:"Bayesian inference"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
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Estimation theory
136
Schätztheorie
136
Time series analysis
33
Zeitreihenanalyse
33
Estimation
31
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31
Nichtparametrisches Verfahren
25
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Linton, Oliver
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Gallant, A. Ronald
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of econometrics
177
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
69
Economics letters
43
Discussion paper / Tinbergen Institute
36
Economic modelling
31
Econometric reviews
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ECONIS (ZBW)
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
3
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
4
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
5
A semi-parametric Bayesian generalized least square estimator
Wu, Ruochen
;
Weeks, Melvyn
-
2020
Persistent link: https://www.econbiz.de/10012793122
Saved in:
6
Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2020
Persistent link: https://www.econbiz.de/10013205434
Saved in:
7
How BLUE is the sky? : estimating the air quality data in Beijing during the blue sky day period (2008-2012) by the Bayesian LSTM approach
Han, Yang
;
Li, Victor O. K.
;
Lam, Jacqueline C. K.
; …
-
2019
-
Revised 26 June 2019
Persistent link: https://www.econbiz.de/10012698719
Saved in:
8
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
9
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
10
A semiparametric intraday GARCH model
Malec, Peter
-
2016
Persistent link: https://www.econbiz.de/10011538851
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