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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Li, Jia"
~person:"Lucas, André"
~person:"Mykland, Per A."
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Volatility
Estimation theory
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Volatilität
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Estimation
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Bollerslev, Tim
Li, Jia
Lucas, André
Mykland, Per A.
Todorov, Viktor
10
Kumar, Dilip
9
Kim, Donggyu
6
Li, Yingying
6
Tauchen, George Eugene
6
Andersen, Torben
5
Francq, Christian
5
Liu, Zhi
5
Maheswaran, S.
5
Mancino, Maria Elvira
4
Sentana, Enrique
4
Sucarrat, Genaro
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Amengual, Dante
3
Bauwens, Luc
3
Buccheri, Giuseppe
3
Clements, Adam
3
Jing, Bingyi
3
Kayal, Parthajit
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Kim, Jong-Min
3
Kömm, Holger
3
Lee, Kyungsub
3
Li, Wai Keung
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Liu, Guangying
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Otranto, Edoardo
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Park, Joon Y.
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Teräsvirta, Timo
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Varneskov, Rasmus Tangsgaard
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Zakoïan, Jean-Michel
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Journal of econometrics
11
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
International journal of forecasting
1
Journal of financial econometrics
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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
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
6
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
7
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
8
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
9
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
10
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:
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