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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Li, Yingying"
~person:"Liu, Zhi"
~person:"Zhu, Ke"
~subject:"Statistischer Test"
~subject:"Vector AutoRegressive model"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistischer Test
Vector AutoRegressive model
Zeitreihenanalyse
Estimation theory
30
Schätztheorie
30
Time series analysis
20
Volatilität
13
Market microstructure
9
Marktmikrostruktur
9
Noise Trading
8
Noise trading
8
ARCH model
6
ARCH-Modell
6
Estimation
6
Schätzung
6
Market microstructure noise
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Börsenkurs
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Capital income
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High frequency data
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Integrated volatility
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Kapitaleinkommen
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Share price
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VAR model
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VAR-Modell
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Analysis of variance
3
Central limit theorem
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Heteroscedasticity
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Heteroskedastizität
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High-frequency data
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Induktive Statistik
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Martingal
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Martingale
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Microstructure noise
3
Portmanteau test
3
Regression analysis
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Regressionsanalyse
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Statistical inference
3
Statistical test
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26
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Croux, Christophe
Li, Yingying
Liu, Zhi
Zhu, Ke
Gao, Jiti
11
Phillips, Peter C. B.
11
Bera, Anil K.
10
Li, Jia
10
Linton, Oliver
10
Todorov, Viktor
10
Dufour, Jean-Marie
9
Francq, Christian
9
Kumar, Dilip
9
Cai, Zongwu
8
Kapetanios, George
8
Sentana, Enrique
8
Taylor, Robert
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Lütkepohl, Helmut
7
Sun, Yixiao
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Baltagi, Badi H.
6
Doğan, Osman
6
Hill, Jonathan B.
6
Kim, Donggyu
6
Leybourne, Stephen James
6
Li, Degui
6
Li, Dong
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Peng, Liang
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Su, Liangjun
6
Tauchen, George Eugene
6
Taṣpınar, Süleyman
6
Tu, Yundong
6
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Journal of econometrics
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Energy economics
1
Finance and stochastics
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of financial econometrics
1
Journal of retailing
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
26
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
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:
3
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Luo, Donghang
;
Zhu, Ke
;
Gong, Huan
;
Li, Dong
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 111-125
Persistent link: https://www.econbiz.de/10013540650
Saved in:
4
Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya
;
Zhu, Fukang
;
Zhu, Ke
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
Saved in:
5
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
6
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
7
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:
8
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
9
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
10
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
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