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subject:"Share price"
type_genre:"Article in journal"
~person:"Todorov, Viktor"
~person:"Tse, Yiu Kuen"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Share price
Stochastic process
Estimation theory
20
Schätztheorie
20
Volatility
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Volatilität
14
Estimation
12
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12
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Todorov, Viktor
Tse, Yiu Kuen
Maheswaran, S.
11
Tauchen, George Eugene
10
Li, Jia
8
Zakoïan, Jean-Michel
7
Francq, Christian
6
Kim, Donggyu
6
Engle, Robert F.
5
Faff, Robert W.
5
Kumar, Dilip
5
McAleer, Michael
5
Sentana, Enrique
5
Tsionas, Efthymios G.
5
Wang, Yazhen
5
Allen, David E.
4
Bauwens, Luc
4
Fičura, Milan
4
Fu, Michael
4
Ghysels, Eric
4
Hurn, Stan
4
Lam, Henry
4
Li, Dong
4
Lucas, André
4
Mills, Terence C.
4
Park, Joon Y.
4
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4
Shephard, Neil G.
4
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Zhang, Zhimin
4
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3
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3
Cai, Jun
3
Cui, Zhenyu
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Daníelsson, Jón
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Escanciano, Juan Carlos
3
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Journal of econometrics
9
Asia Pacific journal of management : APJM ; a publication of the Faculty of Business Administration, National University of Singapore
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics : open access journal
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
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
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
Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
Dong, Yingjie
;
Tse, Yiu Kuen
- In:
Econometrics : open access journal
5
(
2017
)
4
,
pp. 1-19
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...
Persistent link: https://www.econbiz.de/10011781945
Saved in:
5
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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
On estimating market microstructure noise variance
Dong, Yingjie
;
Tse, Yiu Kuen
- In:
Economics letters
150
(
2017
),
pp. 59-62
Persistent link: https://www.econbiz.de/10011762850
Saved in:
9
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:
10
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:
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