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person:"Daníelsson, Jón"
subject:"Volatility"
~person:"Diebold, Francis X."
~person:"Granger, C. W. J."
~person:"Li, Yingying"
~person:"Nelson, Daniel B."
~subject:"Capital income"
~subject:"Estimation"
~subject:"Market microstructure noise"
~subject:"United States"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Capital income
Estimation
Market microstructure noise
United States
Zeitreihenanalyse
Estimation theory
63
Schätztheorie
63
Theorie
39
Theory
39
Time series analysis
30
Volatilität
14
USA
12
Schätzung
9
Kapitaleinkommen
8
Market microstructure
8
Marktmikrostruktur
8
Noise Trading
7
Noise trading
7
Börsenkurs
6
Share price
6
Exchange rate
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Wechselkurs
4
Autocorrelation
3
Autokorrelation
3
Forecasting model
3
High frequency data
3
High-frequency data
3
Integrated volatility
3
Prognoseverfahren
3
Realized volatility
3
Simulation
3
Structural break
3
Strukturbruch
3
ARCH model
2
ARCH-Modell
2
Aktienindex
2
Analysis of variance
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88
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41
Aufsatz in Zeitschrift
41
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4
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4
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English
46
Spanish
1
Author
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Daníelsson, Jón
Diebold, Francis X.
Granger, C. W. J.
Li, Yingying
Nelson, Daniel B.
Phillips, Peter C. B.
35
Linton, Oliver
24
Gao, Jiti
22
Teräsvirta, Timo
19
Harvey, Andrew C.
18
Johansen, Søren
18
Kumbhakar, Subal
18
Leybourne, Stephen James
18
Li, Qi
18
Taylor, Robert
18
Lütkepohl, Helmut
17
Su, Liangjun
17
Baltagi, Badi H.
16
Ghysels, Eric
16
Kumar, Dilip
16
Maheswaran, S.
16
Tauchen, George Eugene
16
Baillie, Richard
15
Kapetanios, George
15
Chambers, Marcus J.
14
Hassler, Uwe
14
Hsiao, Cheng
14
Koop, Gary
14
Pesaran, M. Hashem
14
Westerlund, Joakim
14
Francq, Christian
13
Hendry, David F.
13
Koopman, Siem Jan
13
Perron, Pierre
13
Zakoïan, Jean-Michel
13
Lesage, James P.
12
Li, Jia
12
McAleer, Michael
12
Robinson, Peter M.
12
Todorov, Viktor
12
Ullah, Aman
12
White, Halbert
12
Xiao, Zhijie
12
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Journal of econometrics
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
The journal of finance : the journal of the American Finance Association
3
Econometric theory
2
Journal of empirical finance
2
The review of economic studies
2
Annales d'économie et de statistique
1
Annals of economics and finance
1
Applied economics
1
Business cycles, indicators, and forecasting
1
Economics letters
1
Handbook of econometrics : volume 4
1
Handbook of econometrics ; Vol. 2
1
Handbook of econometrics ; Vol. 4
1
Información comercial española / Cuadernos económicos
1
Journal of applied econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international money and finance
1
Journal of time series econometrics
1
Model reliability
1
Oxford bulletin of economics and statistics
1
Proceedings of a Conference on New Approaches to Empirical Macroeconomics : Ebeltoft, Denmark, May 1990
1
Special section on small-sample properties of generalized method of moments (GMM)
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The American economic review
1
The journal of business : B
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ECONIS (ZBW)
47
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47
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date (oldest first)
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
A new test for market efficiency and uncovered interest parity
Baillie, Richard
;
Diebold, Francis X.
;
Kapetanios, George
; …
- In:
Journal of international money and finance
130
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014248790
Saved in:
3
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:
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
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
8
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:
9
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
10
Occasional structural breaks and long memory
Granger, C. W. J.
;
Hyung, Namwon
- In:
Annals of economics and finance
14
(
2013
)
2
,
pp. 721-746
Persistent link: https://www.econbiz.de/10010237888
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