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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~language:"eng"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
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Search: subject_exact:"Estimation theory"
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Volatility
Multivariate Analyse
Noise Trading
Estimation theory
261
Schätztheorie
261
Time series analysis
91
Zeitreihenanalyse
91
Estimation
64
Schätzung
64
Nichtparametrisches Verfahren
51
Nonparametric statistics
51
Regression analysis
35
Regressionsanalyse
35
Forecasting model
32
Prognoseverfahren
32
Volatilität
32
Theorie
26
Theory
26
Bayes-Statistik
25
Bayesian inference
25
Panel
25
Panel study
25
ARCH model
23
ARCH-Modell
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Börsenkurs
18
Share price
18
Capital income
16
Kapitaleinkommen
16
Statistical test
16
Statistischer Test
16
Cointegration
14
Correlation
14
Kointegration
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Korrelation
14
Risikomaß
14
Risk measure
14
Stochastic process
13
Stochastischer Prozess
13
Market microstructure
12
Marktmikrostruktur
12
Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
12
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30
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Gao, Jiti
3
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Silvapulle, Paramsothy
2
Alañón Pardo, Ángel
1
Andreou, Alena
1
Arize, Augustine Chuck
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Cathy W. S.
1
Chen, Xiangjin B.
1
Corsi, Fulvio
1
Dong, Chaohua
1
Díaz-Mendoza, Ana-Carmen
1
Fan, Jianqing
1
Fan, Yingying
1
Forbes, Catherine Scipione
1
Francq, Christian
1
Frazier, David T.
1
Frederiksen, Per
1
Ghysels, Eric
1
Guillén, Montserrat
1
Harris, David
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Horváth, Roman
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Kew, Hsein
1
Kim, Gunky
1
King, Maxwell L.
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Kumar, Satish
1
Kunitomo, Naoto
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The North American journal of economics and finance : a journal of financial economics studies
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
135
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
28
Econometric reviews
24
Economics letters
24
Journal of empirical finance
21
Econometric theory
20
CREATES research paper
19
Journal of the American Statistical Association : JASA
19
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
International journal of forecasting
16
Quantitative finance
15
SFB 649 discussion paper
14
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Journal of forecasting
13
The econometrics journal
13
Econometrics : open access journal
11
Journal of risk and financial management : JRFM
11
KBI
10
Working papers
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
NBER Working Paper
8
Applied economics
7
Computational economics
7
Discussion paper / Center for Economic Research, Tilburg University
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
7
Insurance / Mathematics & economics
7
International journal of financial engineering
7
Journal of mathematical finance
7
Applied economics letters
6
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1
Parameter stability testing for multivariate dynamic time-varying models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
-
2021
Persistent link: https://www.econbiz.de/10012668893
Saved in:
2
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
3
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
-
2020
Persistent link: https://www.econbiz.de/10012606901
Saved in:
4
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
5
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
6
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
7
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
8
Specification testing for nonlinear multivariate cointegrating regressions
Dong, Chaohua
;
Gao, Jiti
;
Tjostheim, Dag
;
Yin, Jiying
-
2014
Persistent link: https://www.econbiz.de/10010245240
Saved in:
9
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
10
Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
-
2013
Persistent link: https://www.econbiz.de/10010189526
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