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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Li, Yingying"
~person:"Liu, Zhi"
~subject:"Zeitreihenanalyse"
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Volatility
Zeitreihenanalyse
Estimation theory
19
Schätztheorie
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Time series analysis
12
Volatilität
11
Market microstructure
9
Marktmikrostruktur
9
Noise Trading
8
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8
Estimation
6
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Börsenkurs
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Integrated volatility
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VAR-Modell
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Analysis of variance
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Croux, Christophe
Li, Yingying
Liu, Zhi
Gao, Jiti
10
Li, Jia
10
Phillips, Peter C. B.
10
Todorov, Viktor
10
Kumar, Dilip
9
Zhu, Ke
9
Francq, Christian
8
Linton, Oliver
8
Demetrescu, Matei
7
Kapetanios, George
7
Koopman, Siem Jan
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Kim, Donggyu
6
Li, Degui
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Bauwens, Luc
5
Blasques, Francisco
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Davis, Richard A.
5
Dong, Chaohua
5
Li, Dong
5
Maheswaran, S.
5
Omay, Tolga
5
Poskitt, Donald Stephen
5
Sentana, Enrique
5
Sucarrat, Genaro
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
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Journal of econometrics
6
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance and stochastics
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of financial econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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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
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
3
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
4
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
5
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
6
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
7
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
8
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
9
Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
Saved in:
10
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
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