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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Duong, Diep"
~person:"Li, Yingying"
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Kapitaleinkommen
Capital income
3
Estimation
3
Market microstructure
3
Marktmikrostruktur
3
Schätzung
3
Time series analysis
3
Volatility
3
Volatilität
3
Zeitreihenanalyse
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Estimation theory
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Market microstructure noise
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Noise Trading
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Realized volatility
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ARCH-Modell
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Börsenkurs
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Downside risk
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Efficiency
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Extreme return persistence
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High frequency data
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High-frequency data
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Integrated volatility
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Integrated volatility estimation
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Jump power variations
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Jump test
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Risk measure
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Duong, Diep
Li, Yingying
Todorov, Viktor
8
Bollerslev, Tim
5
Andersen, Torben
3
Tauchen, George Eugene
3
Xiu, Dacheng
3
Aït-Sahalia, Yacine
2
Li, Jia
2
Meddahi, Nour
2
Paolella, Marc S.
2
Patton, Andrew J.
2
Pelger, Markus
2
Polak, Pawel
2
Andreou, Elena
1
Asai, Manabu
1
Bakalli, Gaetan
1
Bandi, Federico M.
1
Bekaert, Geert
1
Bibinger, Markus
1
Bonomo, Marco Antonio
1
Bouezmarni, Taoufik
1
Breidt, F. Jay
1
Caginalp, Gunduz
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Cederburg, Scott
1
Chan, Thomas W. C.
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Chen, Rui
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Choi, Yongok
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Chu, Amanda M. Y.
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Crato, Nuno
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DeLima, Pedro J. F.
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DeSantis, Mark
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Demetrescu, Matei
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Dhaene, Geert
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El Ghouch, Anouar
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Ergemen, Yunus Emre
1
Fan, Jianqing
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Francq, Christian
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1
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Journal of econometrics
Working papers / Rutgers University, Department of Economics
1
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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
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
3
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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