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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Li, Yingying"
~subject:"Estimation"
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Volatility
Estimation
Estimation theory
14
Schätztheorie
14
Volatilität
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Time series analysis
9
Zeitreihenanalyse
9
Market microstructure
7
Marktmikrostruktur
7
Noise Trading
6
Noise trading
6
Capital income
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Kapitaleinkommen
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Induktive Statistik
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Prognoseverfahren
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Andersen, Torben
Li, Yingying
Todorov, Viktor
10
Tauchen, George Eugene
8
Francq, Christian
6
Li, Jia
6
Linton, Oliver
6
Zakoïan, Jean-Michel
6
Gao, Jiti
5
Kim, Donggyu
5
Mykland, Per A.
5
Phillips, Peter C. B.
5
Gouriéroux, Christian
4
Lu, Xun
4
Park, Joon Y.
4
Su, Liangjun
4
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Baltagi, Badi H.
3
Bollerslev, Tim
3
Cai, Zongwu
3
Callaway, Brantly
3
Fan, Jianqing
3
Gallant, A. Ronald
3
Ghysels, Eric
3
Hsiao, Cheng
3
Jasiak, Joann
3
Koopman, Siem Jan
3
Li, Guodong
3
Meddahi, Nour
3
Shephard, Neil G.
3
Sun, Yiguo
3
Varneskov, Rasmus Tangsgaard
3
Wang, Fa
3
Wang, Yazhen
3
White, Halbert
3
Xiu, Dacheng
3
Ai, Chunrong
2
Audrino, Francesco
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
CREATES research paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Global COE Hi-Stat discussion paper series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
11
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
4
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
5
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
6
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:
7
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
8
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
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
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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