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subject:"Volatility"
type_genre:"Article in journal"
~person:"Song, Yuping"
~subject:"Nichtparametrisches Verfahren"
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Volatility
Nichtparametrisches Verfahren
Estimation theory
4
Schätztheorie
4
Volatilität
4
Börsenkurs
3
Share price
3
Time series analysis
3
Zeitreihenanalyse
3
Estimation
2
Nadaraya-Watson estimator
2
Nonparametric statistics
2
Schätzung
2
high frequency financial data
2
Analysis of variance
1
Bias
1
Capital income
1
Diffusion model with jumps
1
Financial market
1
Finanzmarkt
1
Forecasting model
1
High frequency
1
Kapitaleinkommen
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Prognoseverfahren
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Statistical distribution
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Statistische Verteilung
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Stochastic process
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Stochastischer Prozess
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Systematischer Fehler
1
Varianzanalyse
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asymptotic normality
1
continuous-time return model
1
deep learning LSTM model
1
diffusion coefficient
1
high-frequency financial data
1
machine learning SVM model
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one-step local M estimation
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resistance to sparse design
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Article in journal
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Song, Yuping
Linton, Oliver
36
Li, Qi
30
Su, Liangjun
21
Florens, Jean-Pierre
19
Gao, Jiti
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
14
Maheswaran, S.
14
Sun, Yiguo
14
Ullah, Aman
14
Escanciano, Juan Carlos
13
Horowitz, Joel
13
Tsionas, Efthymios G.
13
Henderson, Daniel J.
12
Phillips, Peter C. B.
12
Todorov, Viktor
12
Fan, Jianqing
11
Hoderlein, Stefan
11
Lewbel, Arthur
11
Li, Jia
11
White, Halbert
11
Otsu, Taisuke
10
Tauchen, George Eugene
10
Breunig, Christoph
9
Kristensen, Dennis
9
Mammen, Enno
9
Newey, Whitney K.
9
Robinson, Peter M.
9
Van Keilegom, Ingrid
9
Xiao, Zhijie
9
Yao, Feng
9
Zhang, Xibin
9
Ai, Chunrong
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International journal of financial engineering
1
Journal of forecasting
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The Singapore economic review : journal of the Economic Society of Singapore and the Department of Economics, National University of Singapore
1
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ECONIS (ZBW)
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Robust nonparametric estimation for the volatility of financial market
Kao, Chunyu
;
Song, Yuping
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014251158
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Nonparametric estimation for second-order jump-diffusion model in high frequency data
Song, Yuping
- In:
The Singapore economic review : journal of the Economic …
65
(
2020
)
4
,
pp. 1033-1063
Persistent link: https://www.econbiz.de/10012509634
Saved in:
4
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
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