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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Mykland, Per A."
~person:"Spokojnyj, Vladimir G."
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
12
Schätztheorie
12
Volatilität
7
Market microstructure
5
Marktmikrostruktur
5
Time series analysis
5
Capital income
4
Kapitaleinkommen
4
Microstructure
4
Asynchronous times
3
Börsenkurs
3
Consistency
3
Discrete observation
3
High-frequency data
3
Leverage effect
3
Noise Trading
3
Noise trading
3
Realized volatility
3
Robust estimation
3
Share price
3
Efficiency
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Equivalent martingale measure
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Estimation
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Irregular times
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Microstructure noise
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Pre-averaging
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Robust statistics
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Robustes Verfahren
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Schätzung
2
Stable convergence
2
Time
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Two scales estimation
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Zeit
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Asymptotic bias
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CAPM
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Bollerslev, Tim
Mykland, Per A.
Spokojnyj, Vladimir G.
Phillips, Peter C. B.
11
Todorov, Viktor
10
Taylor, Robert
9
Linton, Oliver
8
Andersen, Torben
7
Leybourne, Stephen James
7
Li, Jia
7
Tauchen, George Eugene
7
Francq, Christian
6
Zhu, Ke
6
Aït-Sahalia, Yacine
5
Chen, Xiaohong
5
Davis, Richard A.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Yingying
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
Chambers, Marcus J.
4
Harvey, David I.
4
Li, Dong
4
Li, Qi
4
Ng, Serena
4
Park, Joon Y.
4
Sun, Yixiao
4
Varneskov, Rasmus Tangsgaard
4
Zhang, Lan
4
Baillie, Richard
3
Baltagi, Badi H.
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
Gao, Jiti
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Harvey, Andrew C.
3
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
SFB 649 discussion paper
4
Discussion papers of interdisciplinary research project 373
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
2
Working paper
2
Applied quantitative finance
1
CREATES Research Paper 2008-49
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Department of Economics, University of California San Diego
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of econometrics : volume 4
1
Handbook of econometrics ; Vol. 4
1
Handbook of financial time series
1
International finance discussion papers
1
NBER Working Paper
1
NBER technical working paper series
1
Technical working paper / National Bureau of Economic Research
1
The review of economics and statistics
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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
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
3
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
4
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:
5
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
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
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
8
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
Saved in:
9
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, Richard
;
Bollerslev, Tim
;
Mikkelsen, Hans Ole Æ.
- In:
Journal of econometrics
74
(
1996
)
1
,
pp. 3-30
Persistent link: https://www.econbiz.de/10001755335
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