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~isPartOf:"Cowles Foundation discussion paper"
~isPartOf:"Journal of econometrics"
~subject:"Marktmikrostruktur"
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Marktmikrostruktur
Martingal
46
Martingale
46
Theorie
19
Theory
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Estimation theory
16
Schätztheorie
16
Volatility
16
Volatilität
16
Statistical test
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Statistischer Test
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Estimation
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Time series analysis
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Börsenkurs
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Share price
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Stochastic process
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High-frequency data
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Capital income
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Jumps
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Semimartingale
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Statistical distribution
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Statistische Verteilung
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Market microstructure
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Analysis of variance
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Induktive Statistik
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Jiang, George J.
1
Jing, Bingyi
1
Kalnina, Ilze
1
Kong, Xin-Bing
1
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1
Linton, Oliver
1
Liu, Guangying
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Liu, Zhi
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Cowles Foundation discussion paper
Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion papers of interdisciplinary research project 373
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics papers
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International journal of economics and financial issues : IJEFI
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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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
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2
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
3
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
4
Testing for jumps when asset prices are observed with noise : a "swap variance" approach
Jiang, George J.
;
Oomen, Roel C.A.
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 352-370
Persistent link: https://www.econbiz.de/10003774646
Saved in:
5
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze
;
Linton, Oliver
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
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