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subject:"Kanada"
subject:"Schätzung"
~person:"Todorov, Viktor"
~subject:"Statistical distribution"
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Kanada
Schätzung
Statistical distribution
Estimation theory
21
Schätztheorie
21
Volatility
19
Volatilität
19
Estimation
14
Stochastic process
12
Stochastischer Prozess
12
Time series analysis
11
Zeitreihenanalyse
11
Börsenkurs
9
Share price
9
Capital income
6
Kapitaleinkommen
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Option pricing theory
6
Optionspreistheorie
6
High-frequency data
5
Stochastic volatility
5
Martingal
3
Martingale
3
Options
3
Statistische Verteilung
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Induktive Statistik
2
Jumps
2
Laplace transform
2
Option trading
2
Optionsgeschäft
2
Regression analysis
2
Regressionsanalyse
2
Semimartingale
2
Semiparametric efficiency
2
Specification test
2
Statistical inference
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English
16
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Todorov, Viktor
Gao, Jiti
44
Pesaran, M. Hashem
42
Linton, Oliver
39
Phillips, Peter C. B.
32
Kapetanios, George
30
Cai, Zongwu
24
Diebold, Francis X.
22
Einmahl, John H. J.
22
Marcellino, Massimiliano
20
Winkelmann, Rainer
20
Härdle, Wolfgang
19
Koop, Gary
19
Koopman, Siem Jan
19
Hsu, Yu-Chin
18
Hsiao, Cheng
17
Kumbhakar, Subal
17
Lütkepohl, Helmut
17
Su, Liangjun
17
Swanson, Norman R.
17
Tauchen, George Eugene
17
Chudik, Alexander
16
Baltagi, Badi H.
15
Heckman, James J.
15
Jochmans, Koen
15
Kitagawa, Toru
15
Lechner, Michael
15
Posch, Olaf
15
Hoderlein, Stefan
14
Kim, Donggyu
14
Pei, Zhuan
14
Weidner, Martin
14
McAleer, Michael
13
Park, Joon Y.
13
Racine, Jeffrey
13
Sentana, Enrique
13
Weber, Andrea
13
White, Halbert
13
Fan, Jianqing
12
Fang, Ying
12
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Journal of econometrics
8
ERID working paper
3
Economic Research Initiatives at Duke (ERID) Working Paper
2
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
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ECONIS (ZBW)
16
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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
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
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
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
5
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
6
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:
7
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
8
Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions
Todorov, Viktor
;
Tauchen, George Eugene
-
2011
Persistent link: https://www.econbiz.de/10009561745
Saved in:
9
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Todorov, Viktor
-
2011
We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two steps. The first is aggregating the high-frequency increments into the realized...
Persistent link: https://www.econbiz.de/10013119658
Saved in:
10
Volatility Activity : Specification and Estimation
Todorov, Viktor
-
2011
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods to...
Persistent link: https://www.econbiz.de/10013119659
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