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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Li, Yingying"
~person:"Taniguchi, Masanobu"
~subject:"Time series analysis"
~type_genre:"Aufsatz in Zeitschrift"
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Volatility
Time series analysis
Estimation theory
2
Market microstructure
2
Marktmikrostruktur
2
Schätztheorie
2
Volatilität
2
ARCH model
1
ARCH-Modell
1
Capital income
1
Kapitaleinkommen
1
Noise Trading
1
Noise trading
1
Statistical error
1
Statistischer Fehler
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Zeitreihenanalyse
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bias-correction
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diffusion process
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market microstructure
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realized volatility (RV)
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rounding errors
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Li, Yingying
Taniguchi, Masanobu
Corsi, Fulvio
2
Engle, Robert F.
2
Frederiksen, Per
2
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Candelon, Bertrand
1
Carrasco, Marine
1
Chen, Yi-ting
1
Christensen, Kim
1
Colletaz, Gilbert
1
Di, Jianing
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Gonzalo, Jesús
1
Gregory, Allan W.
1
Hassler, Uwe
1
Herwartz, Helmut
1
Hill, Jonathan B.
1
Horváth, Lajos
1
Hsieh, Chih-sheng
1
Hurlin, Christophe
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Kokoszka, Piotr
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Lv, Jinchi
1
Miao, Hong
1
Mira, Antonietta
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
5
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)
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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
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2
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
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