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~isPartOf:"Cambridge working papers in economics"
~subject:"Volatility"
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Volatility
Estimation theory
63
Schätztheorie
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Estimation
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Nichtparametrisches Verfahren
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Nonparametric statistics
16
Panel
16
Panel study
16
Schätzung
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Correlation
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panel data
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Marktmikrostruktur
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Momentenmethode
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Robust statistics
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heteroskedasticity
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Linton, Oliver
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Bu, Ruijun
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Chen, Jia
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Li, Yu-Ning
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Cambridge working papers in economics
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Discussion paper / Tinbergen Institute
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Economics letters
24
Econometric reviews
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Journal of empirical finance
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Economic modelling
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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CREATES research paper
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Quantitative finance
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Econometric theory
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of banking & finance
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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SFB 649 discussion paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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International journal of economics and financial issues : IJEFI
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Handbook of financial time series
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International journal of financial engineering
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
3
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
4
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
5
A semiparametric intraday GARCH model
Malec, Peter
-
2016
Persistent link: https://www.econbiz.de/10011538851
Saved in:
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