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isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Li, Jia"
~person:"Shephard, Neil G."
~subject:"Nichtparametrisches Verfahren"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Nichtparametrisches Verfahren
Zeitreihenanalyse
Volatility
15
Volatilität
15
Time series analysis
10
Estimation theory
8
Schätztheorie
8
Börsenkurs
7
Share price
7
Estimation
6
High-frequency data
6
Schätzung
6
Stochastic process
6
Stochastischer Prozess
6
Capital income
5
Kapitaleinkommen
5
Nonparametric statistics
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Jumps
3
Market microstructure
3
Marktmikrostruktur
3
Martingal
3
Martingale
3
Semimartingale
3
Stochastic volatility
3
Theorie
3
Theory
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Correlation
2
Korrelation
2
Microstructure noise
2
Noise Trading
2
Noise trading
2
Semiparametric efficiency
2
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2
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2
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Hounyo, Ulrich
Li, Jia
Shephard, Neil G.
Todorov, Viktor
9
Andersen, Torben
5
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Christensen, Kim
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Taylor, Robert
3
Wang, Yazhen
3
Asai, Manabu
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Clinet, Simon
2
Dalderop, Jeroen
2
Ergemen, Yunus Emre
2
Forbes, Catherine Scipione
2
Francq, Christian
2
Jensen, Mark J.
2
Laeven, Roger J. A.
2
Li, Guodong
2
Li, Wai Keung
2
Linton, Oliver
2
Liu, Zhi
2
Maheu, John M.
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Meddahi, Nour
2
Medeiros, Marcelo C.
2
Mykland, Per A.
2
Nielsen, Morten Ørregaard
2
Park, Joon Y.
2
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Journal of econometrics
CREATES research paper
3
Oxford Financial Research Centre economics series
3
Quantitative economics : QE ; journal of the Econometric Society
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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
2
Advanced texts in econometrics
1
Advances in economics and econometrics ; Vol. 3
1
Cowles Foundation discussion paper
1
Discussion paper / Tinbergen Institute
1
Economics discussion papers
1
IDEI working papers
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Mathematical finance
1
The econometrics journal
1
The economic journal : the journal of the Royal Economic Society
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ECONIS (ZBW)
10
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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
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:
3
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
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
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:
6
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
7
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:
8
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:
9
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
10
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
Saved in:
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