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person:"Audrino, Francesco"
subject:"Volatilität"
~person:"Li, Jia"
~subject:"Estimation"
~subject:"Nichtparametrisches Verfahren"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation
Nichtparametrisches Verfahren
Estimation theory
17
Schätztheorie
17
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11
Time series analysis
11
Volatility
11
Zeitreihenanalyse
11
Börsenkurs
8
Share price
8
High-frequency data
5
Nonparametric statistics
5
Stochastic process
5
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5
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4
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3
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Audrino, Francesco
Li, Jia
Linton, Oliver
36
Li, Qi
33
Su, Liangjun
27
Gao, Jiti
24
Kumbhakar, Subal
22
Racine, Jeffrey
20
Florens, Jean-Pierre
19
Tsionas, Efthymios G.
19
Cai, Zongwu
18
Chen, Xiaohong
18
Parmeter, Christopher F.
18
Chen, Songnian
17
Kumar, Dilip
17
Phillips, Peter C. B.
17
Simar, Léopold
16
Escanciano, Juan Carlos
15
Li, Degui
15
Maheswaran, S.
15
Ullah, Aman
15
Henderson, Daniel J.
14
Sun, Yiguo
14
Horowitz, Joel
13
Lewbel, Arthur
13
Tauchen, George Eugene
13
Fan, Jianqing
12
Hsiao, Cheng
12
Todorov, Viktor
12
White, Halbert
12
Fan, Yanqin
11
Hoderlein, Stefan
11
Jochmans, Koen
11
Kapetanios, George
11
Kristensen, Dennis
11
Lu, Xun
11
Robinson, Peter M.
11
Ai, Chunrong
10
Martins-Filho, Carlos
10
Otsu, Taisuke
10
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Journal of econometrics
6
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
13
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
3
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
8
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
9
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
10
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
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