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subject:"Stochastic process"
subject:"Volatility"
~person:"Li, Jia"
~person:"Li, Yingying"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastic process
Volatility
Estimation theory
22
Schätztheorie
22
Volatilität
18
Time series analysis
15
Zeitreihenanalyse
15
Börsenkurs
11
Estimation
11
Schätzung
11
Share price
11
Market microstructure
9
Marktmikrostruktur
9
Nichtparametrisches Verfahren
8
Noise Trading
8
Noise trading
8
Nonparametric statistics
8
Capital income
7
High-frequency data
7
Kapitaleinkommen
7
Market microstructure noise
5
Stochastischer Prozess
5
High frequency data
4
Martingal
4
Martingale
4
Integrated volatility
3
Regression analysis
3
Regressionsanalyse
3
Semimartingale
3
Specification test
3
Stochastic volatility
3
Adaptive estimation
2
Analysis of variance
2
Beta
2
Beta risk
2
Betafaktor
2
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Aufsatz in Zeitschrift
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English
18
Author
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Li, Jia
Li, Yingying
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Tauchen, George Eugene
11
Francq, Christian
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
Ghysels, Eric
6
McAleer, Michael
6
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Hafner, Christian M.
5
Hurn, Stan
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Li, Dong
5
Park, Joon Y.
5
Phillips, Peter C. B.
5
Taylor, Stephen
5
Tsionas, Efthymios G.
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Cavaliere, Giuseppe
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Fu, Michael
4
Hadri, Kaddour
4
Hwang, Eunju
4
Li, Wai Keung
4
Linton, Oliver
4
Lucas, André
4
Mancino, Maria Elvira
4
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Journal of econometrics
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
18
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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
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:
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