Adaptive estimation of continuous-time regression models using high-frequency data
Jia Li, Viktor Todorov, George Tauchen
| Year of publication: |
September 2017
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|---|---|
| Authors: | Li, Jia ; Todorov, Viktor ; Tauchen, George Eugene |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 1, p. 36-47
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| Subject: | Adaptive estimation | Beta | Stochastic volatility | Spot variance | Semiparametric efficiency | High-frequency data | Volatilität | Volatility | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Betafaktor | Beta risk | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.01.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897689