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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Lucas, André"
~person:"Tauchen, George Eugene"
~person:"Zhang, Lan"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
16
Schätztheorie
16
Volatilität
10
Estimation
8
Schätzung
8
Time series analysis
8
Zeitreihenanalyse
8
Börsenkurs
7
Share price
7
Capital income
5
Kapitaleinkommen
5
Stochastic process
5
Consistency
4
High-frequency data
4
Stochastic volatility
4
Discrete observation
3
Efficiency
3
Leverage effect
3
Market microstructure
3
Marktmikrostruktur
3
Martingal
3
Martingale
3
Microstructure
3
Robust estimation
3
Semimartingale
3
Theorie
3
Theory
3
Adaptive estimation
2
Asynchronous times
2
Beta
2
Beta risk
2
Betafaktor
2
CAPM
2
Equivalent martingale measure
2
High frequency data
2
Irregular times
2
Jumps
2
Nichtparametrisches Verfahren
2
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English
10
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Lucas, André
Tauchen, George Eugene
Zhang, Lan
Todorov, Viktor
10
Andersen, Torben
6
Li, Jia
6
Zakoïan, Jean-Michel
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
4
Park, Joon Y.
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Li, Dong
3
Li, Guodong
3
Meddahi, Nour
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhu, Ke
3
Chen, Song Xi
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Muyi
2
Li, Wai Keung
2
Lieberman, Offer
2
Patton, Andrew J.
2
Phillips, Peter C. B.
2
Potiron, Yoann
2
Taylor, Robert
2
Wang, Bin
2
Xiu, Dacheng
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
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Journal of econometrics
Discussion paper / Tinbergen Institute
5
ERID working paper
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Computation and estimation in finance and economics
1
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Macroeconomic dynamics
1
Nonparametric dynamic modelling
1
Report / Erasmus Center for Financial Research, Erasmus University
1
Sveriges Riksbank working paper series
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ECONIS (ZBW)
10
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
7
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
8
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
9
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
10
Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
Saved in:
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