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  • Search: subject:"Realized power variation"
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Year of publication
Subject
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Blumenthal-Getoor index 3 Realized power variation 3 Time series analysis 3 Zeitreihenanalyse 3 Activity index 2 Estimation theory 2 High-frequency data 2 Schätztheorie 2 Stochastic process 2 Stochastischer Prozess 2 Volatility 2 Volatilität 2 jumps 2 realized power variation 2 Aktienindex 1 Ausreißer 1 Bootstrap 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Börsenkurs 1 Capital income 1 Central Limit Theorem 1 Central limit theorem 1 Cojump 1 Confidence intervals 1 Extreme tail 1 Fractional Brownian motion 1 Hypothesis testing 1 Index 1 Index number 1 It^o semimartingale 1 Jumps 1 Kapitaleinkommen 1 Levy process 1 Noisy data 1 Outliers 1 Risikomaß 1 Risk measure 1 Share price 1 Stable processes 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 3 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 2
Author
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Tauchen, George 2 Todorov, Viktor 2 Hounyo, Ulrich 1 Jing, Bingyi 1 Liu, Guangying 1 Varneskov, Rasmus Tangsgaard 1 Yeh, Jin-huei 1 Yun, Mu-Shu 1
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Institution
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Duke University, Department of Economics 2
Published in...
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Working Papers / Duke University, Department of Economics 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 Pacific-Basin finance journal 1
Source
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ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
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Assessing jump and cojumps in financial asset returns with applications in futures markets
Yeh, Jin-huei; Yun, Mu-Shu - In: Pacific-Basin finance journal 82 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014463584
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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
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A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 198 (2017) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10011818366
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Activity Signature Functions for High-Frequency Data Analysis
Tauchen, George; Todorov, Viktor - Duke University, Department of Economics - 2010
We define a new concept termed the activity signature function, which is constructed from discrete observations of a process evolving continuously in time. Under quite general regularity conditions, we derive the asymptotic properties of the function as the sampling frequency increases and show...
Persistent link: https://www.econbiz.de/10008549026
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Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation
Todorov, Viktor; Tauchen, George - Duke University, Department of Economics - 2010
This paper derives the asymptotic behavior of realized power variation of pure-jump It^o semimartingales as the … limit theorem for the realized power variation as a function of its power. We apply the limit theorems to propose an e …
Persistent link: https://www.econbiz.de/10008764949
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