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subject:"Volatility"
type_genre:"Article in journal"
~person:"Jing, Bingyi"
~person:"Koopman, Siem Jan"
~person:"Todorov, Viktor"
~subject:"Maximum-Likelihood-Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum-Likelihood-Schätzung
Estimation theory
31
Schätztheorie
31
Volatilität
22
Time series analysis
18
Zeitreihenanalyse
18
Estimation
15
Schätzung
15
Stochastic process
11
Stochastischer Prozess
11
Börsenkurs
8
Capital income
8
Kapitaleinkommen
8
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High-frequency data
6
Nichtparametrisches Verfahren
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Nonparametric statistics
6
Stochastic volatility
6
Forecasting model
5
Martingal
5
Martingale
5
Maximum likelihood estimation
5
Prognoseverfahren
5
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Central limit theorem
3
Consistency
3
High frequency data
3
Induktive Statistik
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Kalman filter
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Market microstructure
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Marktmikrostruktur
3
Noise Trading
3
Noise trading
3
Option pricing theory
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Options
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Optionspreistheorie
3
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25
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Article in journal
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25
Arbeitspapier
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English
25
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Jing, Bingyi
Koopman, Siem Jan
Todorov, Viktor
Lee, Lung-fei
18
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Francq, Christian
11
Tauchen, George Eugene
10
Zakoïan, Jean-Michel
9
Jin, Fei
8
Liu, Zhi
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Tsionas, Efthymios G.
7
Fan, Jianqing
6
Wang, Yazhen
6
Yu, Jihai
6
Aït-Sahalia, Yacine
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hurn, Stan
5
Li, Dong
5
Li, Kunpeng
5
Lucas, André
5
McAleer, Michael
5
Park, Joon Y.
5
Shin, Dong-wan
5
Sucarrat, Genaro
5
Taylor, Robert
5
Taylor, Stephen
5
Tran, Kien C.
5
Wu, Xinyu
5
Arnerić, Josip
4
Clements, Adam
4
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Journal of econometrics
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometric theory
2
Journal of the American Statistical Association : JASA
2
Econometric reviews
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 financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
25
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1
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
2
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:
3
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:
4
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
5
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:
6
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
7
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
8
On estimation of hurst parameter under noisy observations
Liu, Guangying
;
Jing, Bingyi
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
Saved in:
9
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:
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
Saved in:
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