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subject:"Portfolio selection"
subject:"Share price"
~person:"Fan, Jianqing"
~person:"Todorov, Viktor"
~subject:"Option pricing theory"
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Search: subject_exact:"Estimation theory"
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Portfolio selection
Share price
Option pricing theory
Estimation theory
60
Schätztheorie
60
Volatility
28
Volatilität
28
Estimation
22
Schätzung
22
Time series analysis
20
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20
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14
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14
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14
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11
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Fan, Jianqing
Todorov, Viktor
Linton, Oliver
15
Kapetanios, George
14
Pesaran, M. Hashem
13
Tauchen, George Eugene
13
Frahm, Gabriel
11
Härdle, Wolfgang
10
Okhrin, Yarema
10
Allen, David E.
9
Kempf, Alexander
9
Lee, Cheng F.
9
Li, Yingying
9
Maheswaran, S.
9
Memmel, Christoph
9
Shephard, Neil G.
9
Takahashi, Akihiko
9
Bailey, Natalia
8
Bodnar, Taras
8
Hafner, Christian M.
8
Hautsch, Nikolaus
8
Kan, Raymond
8
Li, Jia
8
Schmid, Wolfgang
8
Sentana, Enrique
8
Teräsvirta, Timo
8
Zakoïan, Jean-Michel
8
Faff, Robert W.
7
Gouriéroux, Christian
7
Liesenfeld, Roman
7
Malec, Peter
7
Nolte, Ingmar
7
Runde, Ralf
7
Stentoft, Lars
7
Xiu, Dacheng
7
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6
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6
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6
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Journal of econometrics
11
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3
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
22
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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
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
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:
5
Incorporating Global Industrial Classification Standard into Portfolio Allocation : A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data
Fan, Jianqing
-
2015
We document a striking block-diagonal pattern in the factor model residual covariances of the S&P 500 Equity Index constituents, after sorting the assets by their assigned Global Industry Classification Standard (GICS) codes. Cognizant of this structure, we propose combining a location-based...
Persistent link: https://www.econbiz.de/10013030559
Saved in:
6
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
7
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Fan, Jianqing
-
2013
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et. al. (2008b). The required high-dimensional volatility matrix can be estimated by using high frequency...
Persistent link: https://www.econbiz.de/10013094810
Saved in:
8
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:
9
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:
10
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
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