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isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~person:"Li, Jia"
~subject:"Nonparametric statistics"
~subject:"Share price"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Nonparametric statistics
Share price
Zeitreihenanalyse
Volatility
12
Volatilität
12
Time series analysis
8
Estimation
7
Schätzung
7
Stochastic process
7
Stochastischer Prozess
7
Estimation theory
6
Schätztheorie
6
Börsenkurs
5
Stochastic volatility
5
Capital income
4
High-frequency data
4
Kapitaleinkommen
4
Theorie
4
Theory
4
Long memory
3
Martingal
3
Martingale
3
Nichtparametrisches Verfahren
3
Semimartingale
3
Adaptive estimation
2
Asymmetry
2
Beta
2
Beta risk
2
Betafaktor
2
Correlation
2
Forecasting model
2
Jumps
2
Korrelation
2
Leverage effects
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Multivariate stochastic volatility
2
Prognoseverfahren
2
Semiparametric efficiency
2
Specification test
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Asai, Manabu
Li, Jia
Todorov, Viktor
11
Tauchen, George Eugene
9
Bollerslev, Tim
7
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
McAleer, Michael
5
Patton, Andrew J.
5
Hallin, Marc
4
Aït-Sahalia, Yacine
3
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Christensen, Kim
3
Fan, Jianqing
3
Francq, Christian
3
Kong, Xin-Bing
3
Maheu, John M.
3
Mykland, Per A.
3
Park, Joon Y.
3
Taylor, Robert
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Bibinger, Markus
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Chang, Chia-Lin
2
Clinet, Simon
2
Dalderop, Jeroen
2
Ergemen, Yunus Emre
2
Forbes, Catherine Scipione
2
Gallant, A. Ronald
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hounyo, Ulrich
2
Jensen, Mark J.
2
Laeven, Roger J. A.
2
Li, Guodong
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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
3
Econometrics : open access journal
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Quantitative economics : QE ; journal of the Econometric Society
2
The econometrics journal
2
Applied financial economics
1
Computational economics
1
Econometric reviews
1
Econometric theory
1
International journal of finance & economics : IJFE
1
International review of economics & finance : IREF
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The North American journal of economics and finance : a journal of financial economics studies
1
The review of economic studies
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ECONIS (ZBW)
8
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
3
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
4
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
5
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
8
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
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