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subject:"Share price"
type_genre:"Article in journal"
~person:"Potiron, Yoann"
~person:"Song, Yuping"
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Share price
Estimation theory
8
Schätztheorie
8
Volatility
7
Volatilität
7
Börsenkurs
6
Time series analysis
5
Zeitreihenanalyse
5
Estimation
4
Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätzung
4
Integrated volatility
3
Market microstructure
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Market microstructure noise
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Marktmikrostruktur
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Noise Trading
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Noise trading
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Quasi-maximum likelihood estimator
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Analysis of variance
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Sampling
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high frequency financial data
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Capital income
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Diffusion model with jumps
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Potiron, Yoann
Song, Yuping
Maheswaran, S.
9
Li, Jia
8
Tauchen, George Eugene
8
Todorov, Viktor
7
Kim, Donggyu
6
Faff, Robert W.
5
Kumar, Dilip
5
Wang, Yazhen
5
Bauwens, Luc
4
Engle, Robert F.
4
Francq, Christian
4
Mills, Terence C.
4
Shephard, Neil G.
4
Tse, Yiu Kuen
4
Zakoïan, Jean-Michel
4
Allen, David E.
3
Brooks, Robert
3
Fičura, Milan
3
Kim, Myung-jig
3
Krämer, Walter
3
Kunitomo, Naoto
3
Lee, Kyungsub
3
Li, Yingying
3
Luger, Richard
3
Mykland, Per A.
3
Narayan, Paresh Kumar
3
Nolte, Ingmar
3
Padmakumari, Lakshmi
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Rodrigues, Paulo M. M.
3
Runde, Ralf
3
Sentana, Enrique
3
Taylor, Stephen
3
Teräsvirta, Timo
3
Armitage, Seth
2
Bollerslev, Tim
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Brailsford, Timothy J.
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Chan, Daniel P.
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Chan, Wai-Sum
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Journal of econometrics
2
International journal of financial engineering
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of forecasting
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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1
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
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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:
5
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
6
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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