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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Bandi, Federico M."
~person:"Croux, Christophe"
~person:"Hafner, Christian M."
~person:"Tauchen, George Eugene"
~subject:"CAPM"
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Search: subject_exact:"Estimation theory"
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Volatility
CAPM
Estimation theory
20
Schätztheorie
20
Volatilität
12
Estimation
9
Schätzung
9
Time series analysis
9
Zeitreihenanalyse
9
Börsenkurs
6
High-frequency data
6
Share price
6
Stochastic process
6
Stochastischer Prozess
6
Capital income
4
Kapitaleinkommen
4
Market microstructure
4
Marktmikrostruktur
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Stochastic volatility
4
Noise Trading
3
Noise trading
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Correlation
2
Korrelation
2
Linear algebra
2
Lineare Algebra
2
Martingal
2
Martingale
2
Matrix logarithm
2
Measurement
2
Messung
2
Microstructure noise
2
Option pricing theory
2
Optionspreistheorie
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13
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Bollerslev, Tim
Bandi, Federico M.
Croux, Christophe
Hafner, Christian M.
Tauchen, George Eugene
Todorov, Viktor
10
Andersen, Torben
6
Li, Jia
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grammig, Joachim
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Laurent, Sébastien
2
Li, Guodong
2
Li, Wai Keung
2
Patton, Andrew J.
2
Potiron, Yoann
2
Wang, Bin
2
Xiu, Dacheng
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Zheng, Xu
2
Zhu, Ke
2
Zu, Yang
2
Ahn, Dong-Hyun
1
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Journal of econometrics
ERID working paper
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
KBI
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
CORE discussion papers : DP
2
CORE discussion paper : DP
1
Contributions to economics
1
Discussion papers of interdisciplinary research project 373
1
Econometric theory
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
1
Finance and stochastics
1
Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren : Ergebnisse des 5. Karlsruher Ökonometrie-Workshops
1
International finance discussion papers
1
Journal of applied econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of political economy
1
Nonparametric dynamic modelling
1
SFB 649 discussion paper
1
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
1
The review of economics and statistics
1
Working paper series economics and econometrics
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ECONIS (ZBW)
13
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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
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:
4
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:
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
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:
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
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
9
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
10
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
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