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isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Li, Jia"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Schätzung
Zeitreihenanalyse
Volatility
9
Volatilität
9
Time series analysis
8
Estimation theory
7
Schätztheorie
7
Börsenkurs
6
Estimation
6
High-frequency data
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6
Nichtparametrisches Verfahren
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Nonparametric statistics
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Jumps
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Market microstructure
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Adaptive estimation
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Beta
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Capital income
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Microstructure noise
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Noise Trading
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Noise trading
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Specification test
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Analysis of variance
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Hounyo, Ulrich
Li, Jia
Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
7
Andersen, Torben
6
McAleer, Michael
6
Kim, Donggyu
5
Li, Yingying
5
Aït-Sahalia, Yacine
4
Barigozzi, Matteo
4
Francq, Christian
4
Hallin, Marc
4
Patton, Andrew J.
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Park, Joon Y.
3
Taylor, Robert
3
Wang, Yazhen
3
Xiu, Dacheng
3
Bibinger, Markus
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Christensen, Kim
2
Clinet, Simon
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Gallo, Giampiero M.
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Ghysels, Eric
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Grynkiv, Iaryna
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Harvey, Andrew C.
2
Li, Guodong
2
Li, Wai Keung
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Liu, Zhi
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Meddahi, Nour
2
Medeiros, Marcelo C.
2
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Journal of econometrics
Econometric theory
3
Quantitative economics : QE ; journal of the Econometric Society
3
CREATES research paper
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
IDEI working papers
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Chicago Booth Research Paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
4
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
5
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:
6
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
7
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:
8
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:
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