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subject:"Welt"
subject:"Capital income"
~person:"Todorov, Viktor"
~subject:"Time series analysis"
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Welt
Capital income
Time series analysis
Estimation theory
21
Schätztheorie
21
Volatility
19
Volatilität
19
Estimation
14
Schätzung
14
Stochastic process
12
Stochastischer Prozess
12
Zeitreihenanalyse
11
Börsenkurs
9
Share price
9
Kapitaleinkommen
6
Nichtparametrisches Verfahren
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6
Option pricing theory
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Optionspreistheorie
6
High-frequency data
5
Stochastic volatility
5
Martingal
3
Martingale
3
Options
3
Statistical distribution
3
Statistische Verteilung
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Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
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Jumps
2
Laplace transform
2
Option trading
2
Optionsgeschäft
2
Regression analysis
2
Regressionsanalyse
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Todorov, Viktor
Phillips, Peter C. B.
96
Gao, Jiti
76
Koopman, Siem Jan
53
Johansen, Søren
43
Franses, Philip Hans
41
Lütkepohl, Helmut
41
Linton, Oliver
40
Teräsvirta, Timo
39
Kapetanios, George
38
Nielsen, Morten Ørregaard
38
Pesaran, M. Hashem
35
Harvey, Andrew C.
30
Diebold, Francis X.
29
Koop, Gary
29
Sibbertsen, Philipp
29
Swanson, Norman R.
29
Stock, James H.
28
Engle, Robert F.
27
Taylor, Robert
27
Lucas, André
26
Nelson, Daniel B.
26
Peng, Bin
26
Li, Degui
25
Watson, Mark W.
25
Maravall Herrero, Agustín
24
Perron, Pierre
24
Nielsen, Bent
23
Robinson, Peter M.
23
Chambers, Marcus J.
22
Haldrup, Niels
22
Leybourne, Stephen James
22
Brännäs, Kurt
21
Dong, Chaohua
21
Granger, C. W. J.
21
Hassler, Uwe
21
Hendry, David F.
21
Cavaliere, Giuseppe
20
Gouriéroux, Christian
20
Härdle, Wolfgang
20
Xiao, Zhijie
20
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Journal of econometrics
7
Economic Research Initiatives at Duke (ERID) Working Paper
2
CREATES research paper
1
ERID working paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
12
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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
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:
4
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:
5
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:
6
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Todorov, Viktor
-
2011
We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two steps. The first is aggregating the high-frequency increments into the realized...
Persistent link: https://www.econbiz.de/10013119658
Saved in:
7
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:
8
Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2010
Persistent link: https://www.econbiz.de/10009560323
Saved in:
9
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor
-
2010
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility,...
Persistent link: https://www.econbiz.de/10013137409
Saved in:
10
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
11
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
12
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
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