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person:"Daníelsson, Jón"
subject:"Volatility"
~accessRights:"restricted"
~person:"Croux, Christophe"
~person:"Hsu, Yu-Chin"
~person:"Li, Yingying"
~person:"Nolte, Ingmar"
~person:"Phillips, Peter C. B."
~subject:"Market microstructure noise"
~subject:"Ranking method"
~subject:"Schätzung"
~subject:"Statistical test"
~subject:"United States"
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Search: subject_exact:"Estimation theory"
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Volatility
Market microstructure noise
Ranking method
Schätzung
Statistical test
United States
Estimation theory
52
Schätztheorie
52
Time series analysis
20
Zeitreihenanalyse
20
Regression analysis
14
Regressionsanalyse
14
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Estimation
11
Volatilität
9
Cointegration
8
Kointegration
8
Market microstructure
8
Marktmikrostruktur
8
Noise Trading
7
Noise trading
7
Causality analysis
5
Einheitswurzeltest
5
Induktive Statistik
5
Kausalanalyse
5
Statistical inference
5
Unit root test
5
Börsenkurs
4
Capital income
4
Correlation
4
Endogeneity
4
Forecasting model
4
Kapitaleinkommen
4
Korrelation
4
Prognoseverfahren
4
Share price
4
Statistischer Test
4
VAR model
4
VAR-Modell
4
Analysis of variance
3
High frequency data
3
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21
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Daníelsson, Jón
Croux, Christophe
Hsu, Yu-Chin
Li, Yingying
Nolte, Ingmar
Phillips, Peter C. B.
Gao, Jiti
12
Bera, Anil K.
10
Kumbhakar, Subal
10
Marcellino, Massimiliano
10
Su, Liangjun
10
Todorov, Viktor
10
Baltagi, Badi H.
9
Cai, Zongwu
9
Kumar, Dilip
9
Li, Jia
9
Linton, Oliver
9
Dufour, Jean-Marie
8
Francq, Christian
8
Lee, Lung-fei
8
Sentana, Enrique
8
Demetrescu, Matei
7
Tauchen, George Eugene
7
Westerlund, Joakim
7
Doğan, Osman
6
Escanciano, Juan Carlos
6
Kapetanios, George
6
Kim, Donggyu
6
Maheswaran, S.
6
Mykland, Per A.
6
Parmeter, Christopher F.
6
Taṣpınar, Süleyman
6
Tsionas, Efthymios G.
6
Wang, Taining
6
Andersen, Torben
5
Clark, Todd E.
5
Jochmans, Koen
5
Kao, Chihwa
5
Khalaf, Lynda
5
Koop, Gary
5
Liu, Zhi
5
Park, Joon Y.
5
Schorfheide, Frank
5
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Journal of econometrics
12
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
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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 econometrics journal
1
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ECONIS (ZBW)
21
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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
Fully modified least squares cointegrating parameter estimation in multicointegrated systems
Kheifets, Igor L.
;
Phillips, Peter C. B.
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 300-319
Persistent link: https://www.econbiz.de/10014339925
Saved in:
3
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
4
Counterfactual treatment effects : estimation and inference
Hsu, Yu-Chin
;
Lai, Tsung-Chih
;
Lieli, Robert P.
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 240-255
Persistent link: https://www.econbiz.de/10012804104
Saved in:
5
Estimation and inference for distribution and quantile functions in endogenous treatment effect models
Hsu, Yu-Chin
;
Lai, Tsung-Chih
;
Lieli, Robert P.
- In:
Econometric reviews
41
(
2022
)
1
,
pp. 22-50
Persistent link: https://www.econbiz.de/10013167577
Saved in:
6
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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
Functional coefficient panel modeling with communal smoothing covariates
Phillips, Peter C. B.
;
Wang, Ying
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 371-407
Persistent link: https://www.econbiz.de/10013442086
Saved in:
9
Econometric estimates of Earth's transient climate sensitivity
Phillips, Peter C. B.
;
Leirvik, Thomas
;
Storelvmo, Trude
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 6-32
Persistent link: https://www.econbiz.de/10012438082
Saved in:
10
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Li, Degui
;
Phillips, Peter C. B.
;
Gao, Jiti
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 607-632
Persistent link: https://www.econbiz.de/10012439572
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