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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Mykland, Per A."
~person:"Todorov, Viktor"
~subject:"Autocorrelation"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Estimation theory
41
Schätztheorie
41
Volatilität
24
Estimation
16
Schätzung
16
Time series analysis
14
Zeitreihenanalyse
14
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10
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Bollerslev, Tim
Mykland, Per A.
Todorov, Viktor
Lee, Lung-fei
28
Kumar, Dilip
16
Maheswaran, S.
14
Jin, Fei
11
Li, Jia
11
Sun, Yixiao
10
Tauchen, George Eugene
10
Teräsvirta, Timo
10
Baltagi, Badi H.
8
Cavaliere, Giuseppe
8
Francq, Christian
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Zakoïan, Jean-Michel
7
Hafner, Christian M.
6
Koopman, Siem Jan
6
Phillips, Peter C. B.
6
Wang, Hansheng
6
Wang, Yazhen
6
Fan, Jianqing
5
Ghysels, Eric
5
Jing, Bingyi
5
Li, Dong
5
Liu, Long
5
Liu, Xiaodong
5
McAleer, Michael
5
Okui, Ryo
5
Prucha, Ingmar R.
5
Shin, Dong-wan
5
Taylor, Robert
5
Taylor, Stephen
5
Yu, Jihai
5
Agiakloglou, Christos N.
4
Arnerić, Josip
4
Aït-Sahalia, Yacine
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Journal of econometrics
17
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
Econometric theory
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The review of economics and statistics
1
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ECONIS (ZBW)
24
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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