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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of econometrics"
~person:"Li, Yingying"
~person:"Spokojnyj, Vladimir G."
~subject:"Faktorenanalyse"
~subject:"Schätztheorie"
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Search: subject_exact:"Estimation theory"
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Volatilität
Faktorenanalyse
Schätztheorie
Estimation theory
7
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Time series analysis
5
Volatility
5
Zeitreihenanalyse
5
Market microstructure noise
4
Capital income
3
High frequency data
3
Integrated volatility
3
Kapitaleinkommen
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Analysis of variance
2
Börsenkurs
2
Estimation
2
High dimension
2
High-frequency data
2
Minimum variance portfolio
2
Portfolio selection
2
Portfolio-Management
2
Realized volatility
2
Schätzung
2
Share price
2
Varianzanalyse
2
ARCH model
1
ARCH-Modell
1
CLIME estimator
1
Central limit theorem
1
Dependent noise
1
Efficiency
1
Endogenous time
1
Extreme return persistence
1
Factor analysis
1
Factor model
1
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7
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English
7
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Corsi, Fulvio
Li, Yingying
Spokojnyj, Vladimir G.
Phillips, Peter C. B.
32
Lee, Lung-fei
21
Linton, Oliver
21
Chen, Songnian
20
Su, Liangjun
18
Li, Qi
17
Robinson, Peter M.
17
Cai, Zongwu
13
Chen, Xiaohong
13
Gao, Jiti
13
Fan, Yanqin
12
Taylor, Robert
12
Andrews, Donald W. K.
11
Gouriéroux, Christian
11
Hsiao, Cheng
11
Park, Joon Y.
11
Sun, Yixiao
11
White, Halbert
11
Baltagi, Badi H.
10
Chib, Siddhartha
10
Florens, Jean-Pierre
10
Francq, Christian
10
Hong, Han
10
Newey, Whitney K.
10
Todorov, Viktor
10
Aït-Sahalia, Yacine
9
Horowitz, Joel
9
Kristensen, Dennis
9
Li, Degui
9
Pesaran, M. Hashem
9
Schmidt, Peter
9
Bai, Jushan
8
Lewbel, Arthur
8
Leybourne, Stephen James
8
Li, Dong
8
Magnus, Jan R.
8
Ng, Serena
8
Simar, Léopold
8
Tauchen, George Eugene
8
Zakoïan, Jean-Michel
8
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Discussion papers of interdisciplinary research project 373
7
SFB 649 discussion paper
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
Applied quantitative finance
1
Discussion paper / Center for Economic Research, Tilburg University
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of the American Statistical Association : JASA
1
Quaderni del Dipartimento di economia politica e statistica
1
Research paper series / Swiss Finance Institute
1
The econometrics journal
1
Working papers on finance
1
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ECONIS (ZBW)
7
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
3
High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
Saved in:
4
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
5
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
6
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
7
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
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