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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of econometrics"
~person:"Li, Yingying"
~person:"Spokojnyj, Vladimir G."
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Volatilität
Estimation theory
7
Schätztheorie
7
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Time series analysis
5
Volatility
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Zeitreihenanalyse
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Market microstructure noise
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Capital income
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High frequency data
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Integrated volatility
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Nichtparametrisches Verfahren
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Corsi, Fulvio
Li, Yingying
Spokojnyj, Vladimir G.
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Guodong
2
Li, Wai Keung
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Patton, Andrew J.
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Potiron, Yoann
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Wang, Bin
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Xiu, Dacheng
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Zhang, Congshan
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Zhang, Zhiyuan
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Zheng, Xinghua
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Zheng, Xu
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Zhu, Ke
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Zu, Yang
2
Ahn, Dong-Hyun
1
Ahsan, Nazmul
1
Amengual, Dante
1
Andreou, Elena
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Discussion papers of interdisciplinary research project 373
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Applied quantitative finance
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
Handbook of financial time series
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
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Quaderni del Dipartimento di economia politica e statistica
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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
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