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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Li, Yingying"
~person:"Spokojnyj, Vladimir G."
~person:"Watanabe, Toshiaki"
~subject:"realized variance"
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Volatility
realized variance
Estimation theory
3
Schätztheorie
3
Volatilität
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Market microstructure
2
Marktmikrostruktur
2
Analysis of variance
1
Estimation
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Exchange rate
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Multivariate Analyse
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Noise Trading
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Noise trading
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bias-correction
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diffusion process
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exchange rate
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identification
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integrated variance
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market microstructure
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market microstructure noise
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realized volatility (RV)
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rounding errors
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Li, Yingying
Spokojnyj, Vladimir G.
Watanabe, Toshiaki
Andreou, Alena
1
Balter, Janine
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Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
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Fan, Jianqing
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Frederiksen, Per
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1
Lv, Jinchi
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Moura, Guilherme Valle
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Mykland, Per A.
1
Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
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Nogales, Francisco J.
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Rodrigues, Paulo M. M.
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Rubia, Antonio
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Santos, André A. P.
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Suto, Nobuyuki
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Taniguchi, Masanobu
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Tsukahara, Hideatsu
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Usami, Takashi
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Discussion papers of interdisciplinary research project 373
2
Applied quantitative finance
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
1
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
2
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
3
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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