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~subject:"Estimation theory"
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Estimation theory
Theorie
117
Theory
115
Volatility
113
Volatilität
104
Schätztheorie
95
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78
Time series analysis
75
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stochastic volatility
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37
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Shephard, Neil G.
54
Mykland, Per A.
31
Barndorff-Nielsen, Ole E.
18
Lunde, Asger
15
Zhang, Lan
14
Aït-Sahalia, Yacine
12
Hansen, Peter Reinhard
12
Sheppard, Kevin
8
Meddahi, Nour
7
Chib, Siddhartha
6
Harvey, Andrew C.
4
Noureldin, Diaa
4
Xiu, Dacheng
4
Chen, Dachuan
3
Engle, Robert F.
3
Flury, Thomas
3
Kim, Sangjoon
3
Shephard, Neil
3
Ait-Sahalia, Yacine
2
Bennedsen, Mikkel
2
Bollerslev, Tim
2
Doucet, Arnaud
2
Kim, Jihyun
2
Koopman, Siem Jan
2
Li, Yingying
2
Nardari, Federico
2
Potiron, Yoann
2
Veraart, Almut E. D.
2
Wang, Christina Dan
2
Andersen, Torben
1
Bibinger, Markus
1
Bojinov, Iavor
1
Chaker, Selma
1
Chen, Richard Y.
1
Chen, Rong
1
Doornik, Jurgen A.
1
Elerian, Ola
1
Gonçalves, Sílvia
1
Hendry, David F.
1
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1
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National Bureau of Economic Research
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Journal of econometrics
19
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8
Department of Economics discussion paper series / University of Oxford
7
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4
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3
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3
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3
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3
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3
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3
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
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2
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2
The review of economic studies
2
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1
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1
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Handbook of financial time series
1
Identification and inference for econometric models : essays in honor of Thomas Rothenberg
1
Journal of applied econometrics
1
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1
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1
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1
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1
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The review of financial studies
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1
The effects of random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine
;
Mykland, Per A.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
2
,
pp. 483-549
Persistent link: https://www.econbiz.de/10001750277
Saved in:
2
How often to sample a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
-
2003
Persistent link: https://www.econbiz.de/10001752968
Saved in:
3
The effects of Random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine
;
Mykland, Per A.
-
2002
Persistent link: https://www.econbiz.de/10001663740
Saved in:
4
How often to simple a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
The review of financial studies
18
(
2005
)
2
,
pp. 351-416
Persistent link: https://www.econbiz.de/10002881476
Saved in:
5
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
Saved in:
6
On generating Monte Carlo samples of continuous diffusion bridges
Lin, Ming
;
Chen, Rong
;
Mykland, Per A.
- In:
Journal of the American Statistical Association : JASA
105
(
2010
)
490
,
pp. 820-838
Persistent link: https://www.econbiz.de/10008736836
Saved in:
7
Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations
Aït-Sahalia, Yacine
;
Mykland, Per A.
- In:
Handbook of financial time series
,
(pp. 577-598)
.
2009
Persistent link: https://www.econbiz.de/10003834187
Saved in:
8
Edgeworth expansion for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
-
2005
Persistent link: https://www.econbiz.de/10003217402
Saved in:
9
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
Aït-Sahalia, Yacine
;
Mykland, Per A.
- In:
Journal of econometrics
144
(
2008
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10003723575
Saved in:
10
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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