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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of econometrics"
~person:"Chen, Xiaohong"
~person:"Li, Yingying"
~source:"econis"
~subject:"Regression analysis"
~subject:"Schätzung"
~subject:"Semiparametric efficiency"
~subject:"Zeitreihenanalyse"
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Bootstrap approach
Regression analysis
Schätzung
Semiparametric efficiency
Zeitreihenanalyse
Estimation theory
12
Schätztheorie
12
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Time series analysis
7
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Volatility
5
Volatilität
5
Market microstructure noise
4
Capital income
3
Estimation
3
High frequency data
3
Integrated volatility
3
Kapitaleinkommen
3
ARCH model
2
ARCH-Modell
2
Analysis of variance
2
Börsenkurs
2
High dimension
2
High-frequency data
2
Minimum variance portfolio
2
Multivariate Verteilung
2
Multivariate distribution
2
Portfolio selection
2
Portfolio-Management
2
Realized volatility
2
Share price
2
Varianzanalyse
2
Weighted average derivatives
2
Artificial Neural Networks
1
Bid–ask spread
1
CLIME estimator
1
Central limit theorem
1
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Chen, Xiaohong
Li, Yingying
Phillips, Peter C. B.
13
Linton, Oliver
9
Taylor, Robert
7
Cai, Zongwu
6
Chen, Songnian
6
Gao, Jiti
6
Li, Degui
6
Li, Jia
6
Todorov, Viktor
6
Davis, Richard A.
5
Fan, Jianqing
5
Francq, Christian
5
Kim, Donggyu
5
Lee, Ji Hyung
5
Park, Joon Y.
5
Su, Liangjun
5
Sun, Yiguo
5
Tauchen, George Eugene
5
Tu, Yundong
5
Zhu, Ke
5
Breunig, Christoph
4
Demetrescu, Matei
4
Fan, Yanqin
4
Koopman, Siem Jan
4
Liu, Ruixuan
4
Nielsen, Morten Ørregaard
4
Sant'Anna, Pedro H. C.
4
Sasaki, Yuya
4
Varneskov, Rasmus Tangsgaard
4
Zakoïan, Jean-Michel
4
Andersen, Torben
3
Baltagi, Badi H.
3
Bertanha, Marinho
3
Callaway, Brantly
3
Galvão Júnior, Antônio Fialho
3
Georgiev, Iliyan
3
Ghysels, Eric
3
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Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of econometrics : volume 6B
1
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ECONIS (ZBW)
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1
Efficient estimation of average derivatives in NPIV models : Simulation comparisons of neural network estimators
Chen, Jiafeng
;
Chen, Xiaohong
;
Tamer, Elie T.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1848-1875
Persistent link: https://www.econbiz.de/10014471433
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
Saved in:
4
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
5
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
Saved in:
6
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
7
Semiparametric estimation of the bid-ask spread in extended roll models
Chen, Xiaohong
;
Linton, Oliver
;
Schneeberger, Stefan
; …
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 160-178
Persistent link: https://www.econbiz.de/10012139826
Saved in:
8
Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
Chen, Xiaohong
;
Pouzo, Demian
;
Powell, James
- In:
Journal of econometrics
213
(
2019
)
1
,
pp. 30-53
Persistent link: https://www.econbiz.de/10012304541
Saved in:
9
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
10
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
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