ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934): Difference between revisions

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scientific article; zbMATH DE number 6305649

Language	Label	Description	Also known as
English	ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR	scientific article; zbMATH DE number 6305649

Statements

instance of

scholarly article

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title

ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (English)

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author

Peter Reinhard Hansen

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20 June 2014

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describes a project that uses

Ox

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MaRDI profile type

MaRDI publication profile

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cites work

Q5708632

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Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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Realized volatility forecasting and market microstructure noise

0 references

Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities

0 references

Modeling and Forecasting Realized Volatility

0 references

Consistent ranking of volatility models

0 references

A Tale of Two Time Scales

0 references

A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

0 references

Testing for a unit root in the presence of moving average errors

0 references

Estimation of fractional integration in the presence of data noise

0 references

Long memory relationships and the aggregation of dynamic models

0 references

Nonlinear log-periodogram regression for perturbed fractional processes

0 references

Statistical Inference in Instrumental Variables Regression with I(1) Processes

0 references

Estimating Long Memory in Volatility

0 references

Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

0 references

Estimating the fractionally integrated process in the presence of measurement errors

0 references

Evaluating Volatility and Correlation Forecasts

0 references

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

0 references

Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data

0 references

Temporal aggregation of volatility models

0 references

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Identification and estimation of local average derivatives in non-separable models without monotonicity

0 references

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Volatility forecast comparison using imperfect volatility proxies

0 references

Testing Models of Low-Frequency Variability

0 references

Identifiers

zbMATH Open document ID

1290.91132

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DOI

10.1017/S0266466613000121

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Mathematics Subject Classification ID

91B84

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zbMATH DE Number

6305649

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Sitelinks

Mathematics(1 entry)

mardi Publication:4979934

@@ Property / cites work @@
+Q5708632
@@ Property / cites work: Q5708632 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
+Normal rank
@@ Property / cites work @@
+Realized volatility forecasting and market microstructure noise
+Normal rank
@@ Property / cites work @@
+Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent ranking of volatility models
@@ Property / cites work: Consistent ranking of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / cites work @@
+A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
+Normal rank
@@ Property / cites work @@
+Testing for a unit root in the presence of moving average errors
+Normal rank
@@ Property / cites work @@
+Estimation of fractional integration in the presence of data noise
+Normal rank
@@ Property / cites work @@
+Long memory relationships and the aggregation of dynamic models
+Normal rank
@@ Property / cites work @@
+Nonlinear log-periodogram regression for perturbed fractional processes
+Normal rank
@@ Property / cites work @@
+Statistical Inference in Instrumental Variables Regression with I(1) Processes
+Normal rank
@@ Property / cites work @@
+Estimating Long Memory in Volatility
@@ Property / cites work: Estimating Long Memory in Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
+Normal rank
@@ Property / cites work @@
+Estimating the fractionally integrated process in the presence of measurement errors
+Normal rank
@@ Property / cites work @@
+Evaluating Volatility and Correlation Forecasts
@@ Property / cites work: Evaluating Volatility and Correlation Forecasts / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating stochastic volatility diffusion using conditional moments of integrated volatility
+Normal rank
@@ Property / cites work @@
+Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
+Normal rank
@@ Property / cites work @@
+Temporal aggregation of volatility models
@@ Property / cites work: Temporal aggregation of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Identification and estimation of local average derivatives in non-separable models without monotonicity
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
+Normal rank
@@ Property / cites work @@
+Testing Models of Low-Frequency Variability
@@ Property / cites work: Testing Models of Low-Frequency Variability / rank @@
+Normal rank