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subject:"Nonparametric statistics"
type_genre:"Article in journal"
~person:"Li, Jia"
~subject:"Cointegration"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Nonparametric statistics
Cointegration
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Estimation theory
13
Schätztheorie
13
Volatility
11
Estimation
9
Schätzung
9
Time series analysis
9
Zeitreihenanalyse
9
Börsenkurs
8
Share price
8
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5
Nichtparametrisches Verfahren
5
Stochastic process
5
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Capital income
4
Kapitaleinkommen
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Regression analysis
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Regressionsanalyse
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Adaptive estimation
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Market microstructure
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Noise trading
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Semimartingale
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semimartingale
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Li, Jia
Linton, Oliver
36
Li, Qi
30
Phillips, Peter C. B.
24
Su, Liangjun
21
Gao, Jiti
20
Florens, Jean-Pierre
19
Chen, Songnian
17
Chen, Xiaohong
17
Kumar, Dilip
17
Kumbhakar, Subal
17
Parmeter, Christopher F.
17
Racine, Jeffrey
17
Cai, Zongwu
16
Simar, Léopold
16
Li, Degui
15
Maheswaran, S.
14
Sun, Yiguo
14
Tsionas, Efthymios G.
14
Ullah, Aman
14
Escanciano, Juan Carlos
13
Horowitz, Joel
13
Henderson, Daniel J.
12
Todorov, Viktor
12
Fan, Jianqing
11
Hoderlein, Stefan
11
Kristensen, Dennis
11
Lewbel, Arthur
11
White, Halbert
11
Otsu, Taisuke
10
Robinson, Peter M.
10
Tauchen, George Eugene
10
Xiao, Zhijie
10
Breunig, Christoph
9
Mammen, Enno
9
Newey, Whitney K.
9
Paruolo, Paolo
9
Teräsvirta, Timo
9
Van Keilegom, Ingrid
9
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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 business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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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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