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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Mancino, Maria Elvira"
~person:"Teräsvirta, Timo"
~source:"econis"
~subject:"Multivariate Analyse"
~subject:"Theorie"
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Search: subject_exact:"Estimation theory"
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Volatility
Multivariate Analyse
Theorie
Estimation theory
17
Schätztheorie
17
Time series analysis
14
Zeitreihenanalyse
14
Volatilität
11
Estimation
8
Schätzung
8
Nichtlineare Regression
5
Nonlinear regression
5
ARCH model
4
ARCH-Modell
4
High-frequency data
4
Autocorrelation
3
Autokorrelation
3
Börsenkurs
3
Forecasting model
3
Modellierung
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Prognoseverfahren
3
Scientific modelling
3
Share price
3
Statistical test
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Statistischer Test
3
Capital income
2
Fourier analysis
2
Kapitaleinkommen
2
Market microstructure
2
Marktmikrostruktur
2
Microstructure noise
2
Neural networks
2
Neuronale Netze
2
Noise Trading
2
Noise trading
2
Regression analysis
2
Regressionsanalyse
2
misspecification testing
2
modeling volatility
2
(Powers of) volatility estimation
1
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12
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Bollerslev, Tim
Mancino, Maria Elvira
Teräsvirta, Timo
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Kim, Donggyu
6
Li, Yingying
6
Mykland, Per A.
6
Tauchen, George Eugene
6
Andersen, Torben
5
Francq, Christian
5
Liu, Zhi
5
Maheswaran, S.
5
Sentana, Enrique
5
Abadie, Alberto
4
Marcellino, Massimiliano
4
Schorfheide, Frank
4
Sucarrat, Genaro
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Amengual, Dante
3
Bauwens, Luc
3
Brownlees, Christian
3
Buccheri, Giuseppe
3
Canova, Fabio
3
Clements, Adam
3
De Loecker, Jan
3
Hafner, Christian M.
3
Imbens, Guido
3
Inoue, Atsushi
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
3
Kömm, Holger
3
Lee, Kyungsub
3
Li, Dong
3
Li, Wai Keung
3
Liu, Guangying
3
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Journal of econometrics
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Econometric reviews
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic interaction and coordination
1
Journal of financial econometrics
1
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
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:
3
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
4
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Saved in:
5
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
6
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
7
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
8
Specification and testing of multiplicative time-varying GARCH models with applications
Amado, Cristina
;
Teräsvirta, Timo
- In:
Econometric reviews
36
(
2017
)
4
,
pp. 421-446
Persistent link: https://www.econbiz.de/10011795239
Saved in:
9
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 599-621
Persistent link: https://www.econbiz.de/10011795292
Saved in:
10
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
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