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person:"Swanson, Norman R."
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Mykland, Per A."
~subject:"Modellierung"
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Search: subject_exact:"Estimation theory"
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Volatility
Modellierung
Estimation theory
14
Schätztheorie
14
Volatilität
5
Microstructure
4
Time series analysis
4
Zeitreihenanalyse
4
Asynchronous times
3
Capital income
3
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Discrete observation
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Instrumental variables
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Regressionsanalyse
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Swanson, Norman R.
Mykland, Per A.
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Zhang, Xinyu
5
Francq, Christian
4
Zakoïan, Jean-Michel
4
Zou, Guohua
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Fan, Jianqing
3
Lu, Xun
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zhu, Ke
3
Andreou, Elena
2
Andrews, Isaiah
2
Cai, Zongwu
2
Clinet, Simon
2
Corradi, Valentina
2
Gallant, A. Ronald
2
Gouriéroux, Christian
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Grynkiv, Iaryna
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Hansen, Bruce E.
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Hausman, Jerry A.
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Hong, Yongmiao
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Jasiak, Joann
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Kong, Xin-Bing
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Koopman, Siem Jan
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Lee, Yoonseok
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Li, Guodong
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Li, Wai Keung
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Liao, Jun
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Magnus, Jan R.
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Journal of econometrics
Working papers / Rutgers University, Department of Economics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Working papers / Federal Reserve Bank of Philadelphia, Research Department
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
FRB of Philadelphia Working Paper
1
Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Time-series methods and applications
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ECONIS (ZBW)
6
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1
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
2
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
3
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
4
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
5
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina
;
Swanson, Norman R.
- In:
Journal of econometrics
161
(
2011
)
2
,
pp. 304-324
Persistent link: https://www.econbiz.de/10009242123
Saved in:
6
Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina
;
Distaso, Walter
;
Swanson, Norman R.
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 119-138
Persistent link: https://www.econbiz.de/10003858447
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