5807 S. Woodlawn Avenue
Chicago, IL 60637
University of Chicago - Booth School of Business
in Total Papers Downloads
in Total Papers Citations
quasi-likelihood, two-step estimator, heavy-tailed error
Integrated volatility, Market microstructure noise, Quasi-Maximum Likelihood Estimator, Realized Kernels, Stochastic volatility
Ito Semimartingale, High Frequency, Spectral Function, Eigenvalue, Eigenvector, Principal Components, Three Factor Model
Option Valuation, Closed-Form Expansion, Mean-Reversion, Self-Exciting Jumps, Double Exponential Jumps
Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization
EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, quasi-likelihood, semimartingale
Quadratic covariation, continuous and jump components, overnight jumps, news surprises, financial crisis
big data, high-frequency factor model, GICS, location-based thresholding, low rank plus sparse, precision matrix, positive-definite, concentration inequality, SDPR sector ETF’s
Non-Affine Derivative Pricing Models, Log Volatility Models, Quadratic Volatility Models, Downward Volatility Jumps, Variance Swaps
high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM
high frequency data, semimartingale, spot volatility, nonlinearity bias, GMM
semimartingale, spot correlation, VIX, implied volatility, high frequency data
Hausman test, market microstructure noise, realized volatility, QMLE, TSRV, preaveraging, super-efficiency, local power.
High-dimensional data, high-frequency, latent factor model, principal components, portfolio optimization
Three-Pass Estimator, Empirical Asset Pricing Models, PCA, Latent Factors, Omitted Factors, Fama-MacBeth Regression
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.469 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you