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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Liu, Zhi"
~person:"Tauchen, George Eugene"
~person:"Zhu, Ke"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Stochastischer Prozess
Zeitreihenanalyse
Estimation theory
29
Schätztheorie
29
Time series analysis
19
Volatilität
13
Estimation
11
Schätzung
11
Stochastic process
7
Börsenkurs
6
Share price
6
ARCH model
5
ARCH-Modell
5
Martingal
5
Martingale
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Regression analysis
5
Regressionsanalyse
5
Capital income
4
High-frequency data
4
Kapitaleinkommen
4
VAR model
4
VAR-Modell
4
Beta risk
3
Betafaktor
3
Heteroscedasticity
3
Heteroskedastizität
3
Induktive Statistik
3
Market microstructure
3
Marktmikrostruktur
3
Portmanteau test
3
Statistical inference
3
Statistical test
3
Statistischer Test
3
Stochastic volatility
3
Adaptive estimation
2
Beta
2
Bootstrap approach
2
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Croux, Christophe
Liu, Zhi
Tauchen, George Eugene
Zhu, Ke
Phillips, Peter C. B.
11
Gao, Jiti
10
Li, Jia
10
Todorov, Viktor
10
Kumar, Dilip
9
Francq, Christian
8
Kapetanios, George
8
Linton, Oliver
8
Sentana, Enrique
8
Demetrescu, Matei
7
Koopman, Siem Jan
7
Li, Dong
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Ling, Shiqing
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Zakoïan, Jean-Michel
6
Bauwens, Luc
5
Blasques, Francisco
5
Bollerslev, Tim
5
Davis, Richard A.
5
Dong, Chaohua
5
Maheswaran, S.
5
Omay, Tolga
5
Park, Joon Y.
5
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Journal of econometrics
11
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance and stochastics
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of financial econometrics
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)
23
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
10
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
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