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subject:"Estimation"
subject:"Volatilität"
~person:"Cai, Zongwu"
~person:"Li, Yingying"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Estimation
Volatilität
Estimation theory
39
Schätztheorie
39
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Regression analysis
13
Regressionsanalyse
13
Time series analysis
10
Zeitreihenanalyse
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Statistical test
9
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9
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Volatility
8
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Aufsatz in Zeitschrift
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Cai, Zongwu
Li, Yingying
Kumar, Dilip
16
Maheswaran, S.
15
Kumbhakar, Subal
14
Tauchen, George Eugene
13
Gao, Jiti
12
Linton, Oliver
12
Su, Liangjun
12
Todorov, Viktor
12
Li, Jia
11
Francq, Christian
9
Baltagi, Badi H.
8
Ghysels, Eric
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Kapetanios, George
8
Koop, Gary
8
Lee, Lung-fei
8
Li, Qi
8
Phillips, Peter C. B.
8
Ramírez, Miguel D.
8
Teräsvirta, Timo
8
Tsionas, Efthymios G.
8
Andersen, Torben
7
Bollerslev, Tim
7
Gouriéroux, Christian
7
Hafner, Christian M.
7
Jochmans, Koen
7
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Park, Joon Y.
7
Zakoïan, Jean-Michel
7
Demetrescu, Matei
6
Egger, Peter
6
Fan, Jianqing
6
Härdle, Wolfgang
6
Koopman, Siem Jan
6
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Journal of econometrics
8
Econometric theory
2
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
14
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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
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
Saved in:
3
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:
4
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:
5
The estimation for Lévy processes in high frequency data
Zheng, Jing
;
Gu, Wentao
;
Xu, Baolin
;
Cai, Zongwu
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
Saved in:
6
A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
Cai, Zongwu
;
Chen, Linna
;
Fang, Ying
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 531-553
Persistent link: https://www.econbiz.de/10012110412
Saved in:
7
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:
8
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:
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
A semiparametric conditional capital asset pricing model
Cai, Zongwu
;
Ren, Yu
;
Yang, Bingduo
- In:
Journal of banking & finance
61
(
2015
),
pp. 117-126
Persistent link: https://www.econbiz.de/10011545159
Saved in:
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