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person:"Croux, Christophe"
subject:"Volatility"
~person:"Li, Yingying"
~subject:"VAR-Modell"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
VAR-Modell
Estimation theory
19
Schätztheorie
19
Time series analysis
10
Zeitreihenanalyse
10
Market microstructure
7
Marktmikrostruktur
7
Volatilität
7
Noise Trading
6
Noise trading
6
Market microstructure noise
5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
VAR model
4
Analysis of variance
3
Börsenkurs
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Capital income
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Integrated volatility
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Portfolio-Management
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Realized volatility
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Aufsatz in Zeitschrift
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11
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Croux, Christophe
Li, Yingying
Kumar, Dilip
16
Maheswaran, S.
14
Lütkepohl, Helmut
12
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Teräsvirta, Timo
9
Francq, Christian
8
Andersen, Torben
7
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Ghysels, Eric
6
Gouriéroux, Christian
6
Inoue, Atsushi
6
Kilian, Lutz
6
Kurita, Takamitsu
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bohn Nielsen, Heino
5
Bollerslev, Tim
5
Boswijk, Herman Peter
5
Chan, Joshua
5
Fan, Jianqing
5
Hafner, Christian M.
5
Jing, Bingyi
5
Koop, Gary
5
Koopman, Siem Jan
5
Taylor, Stephen
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Bauwens, Luc
4
Cavaliere, Giuseppe
4
Chevillon, Guillaume
4
Clements, Adam
4
Demetrescu, Matei
4
Elliott, Robert J.
4
Fičura, Milan
4
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Journal of econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Energy economics
1
Journal of econometric methods
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of retailing
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
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
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
5
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:
6
Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
Saved in:
7
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:
8
Identifying demand effects in a large network of product categories
Gelper, Sarah
;
Wilms, Ines
;
Croux, Christophe
- In:
Journal of retailing
92
(
2016
)
1
,
pp. 25-39
Persistent link: https://www.econbiz.de/10011484035
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
Commodity dynamics : a sparse multi-class approach
Barbaglia, Luca
;
Wilms, Ines
;
Croux, Christophe
- In:
Energy economics
60
(
2016
),
pp. 62-72
Persistent link: https://www.econbiz.de/10011699783
Saved in:
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