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subject:"Volatility"
type_genre:"Article in journal"
~person:"Jacod, Jean"
~subject:"Instrumental variables"
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Volatility
Instrumental variables
Estimation theory
4
Schätztheorie
4
Volatilität
3
Market microstructure
2
Marktmikrostruktur
2
Noise Trading
2
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Autokorrelation
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Fourier methods
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High-frequency
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Market microstructure noise
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Jacod, Jean
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Florens, Jean-Pierre
9
Chao, John C.
8
Newey, Whitney K.
8
Swanson, Norman R.
8
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Horowitz, Joel
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Hansen, Christian Bailey
6
Wang, Yazhen
6
Andrews, Isaiah
5
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hausman, Jerry A.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Poskitt, Donald Stephen
5
Taylor, Stephen
5
Woutersen, Tiemen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Breunig, Christoph
4
Carrasco, Marine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Fève, Frédérique
4
Hwang, Eunju
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Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of econometrics
1
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ECONIS (ZBW)
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Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
Saved in:
2
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
3
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-222
Persistent link: https://www.econbiz.de/10009612749
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