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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~isPartOf:"Research in international business and finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Hau, Liya"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~person:"Xuan Vinh Vo"
~person:"Zhou, Liyun"
~subject:"ARCH-Modell"
~subject:"Anlageverhalten"
~subject:"Factor analysis"
~subject:"Theory"
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Kapitaleinkommen
ARCH-Modell
Anlageverhalten
Factor analysis
Theory
Estimation
20
Schätzung
20
Capital income
13
Volatility
11
Volatilität
11
Börsenkurs
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Share price
10
Theorie
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Behavioural finance
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CAPM
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Erdöl
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Oil price
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Petroleum
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Ölpreis
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Crude oil
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Portfolio selection
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Portfolio-Management
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Aktienmarkt
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Causality analysis
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China
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Factor model
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Faktorenanalyse
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Forecasting model
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Hedging
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High-dimensional data
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Kausalanalyse
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Prognoseverfahren
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Quantile-on-quantile regression
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Regression analysis
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Regressionsanalyse
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Spillover effect
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State space model
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Hau, Liya
Pelger, Markus
Xiu, Dacheng
Xuan Vinh Vo
Zhou, Liyun
Gupta, Rangan
13
Todorov, Viktor
9
Bollerslev, Tim
5
Koop, Gary
5
Tiwari, Aviral Kumar
5
Zakoïan, Jean-Michel
5
Andersen, Torben
4
Aït-Sahalia, Yacine
4
Dai, Zhifeng
4
Francq, Christian
4
Kang, Sang Hoon
4
McAleer, Michael
4
Mensi, Walid
4
Tauchen, George Eugene
4
Zaremba, Adam
4
Zhu, Huiming
4
Asai, Manabu
3
Caporin, Massimiliano
3
Chen, Mei-Ping
3
Chiang, Thomas C.
3
Frühwirth-Schnatter, Sylvia
3
Ghysels, Eric
3
Gil-Alaña, Luis A.
3
Han, Xu
3
Ji, Qiang
3
Kim, Donggyu
3
Lee, Chien-chiang
3
Paolella, Marc S.
3
Papadamou, Stephanos
3
Pesaran, M. Hashem
3
Phillips, Peter C. B.
3
Rombouts, Jeroen V. K.
3
Steel, Mark F. J.
3
Su, Liangjun
3
Wang, Fa
3
Yang, Chunpeng
3
Yoon, Seong-min
3
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Journal of econometrics
Research in international business and finance
The North American journal of economics and finance : a journal of financial economics studies
Afro-Asian Journal of Finance and Accounting : AAJFA
2
Chicago Booth Research Paper
2
Finance research letters
2
International review of economics & finance : IREF
2
International review of financial analysis
2
Australian economic papers
1
CEA_372Cass working paper series
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Emerging markets review
1
International journal of emerging markets
1
International journal of finance & economics : IJFE
1
Journal of political economy
1
Risk management : an international journal
1
Swiss Finance Institute Research Paper
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ECONIS (ZBW)
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1
The impact of Twitter-based sentiment on US sectoral returns
Zeitun, Rami
;
Ur Rehman, Mobeen
;
Ahmad, Nasir
;
Xuan Vinh Vo
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014246833
Saved in:
2
Stock-level sentiment contagion and the cross-section of stock returns
Zhou, Liyun
;
Chen, Dongqiao
;
Huang, Jialiang
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014485274
Saved in:
3
Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?
Mensi, Walid
;
Kamal, Md Rajib
;
Xuan Vinh Vo
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
68
(
2023
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014485327
Saved in:
4
Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock : evidence from multiscale quantile perspectives
Zhu, Huiming
;
Chen, Yiwen
;
Ren, Ying-hua
;
Xing, Zhanming
; …
- In:
The North American journal of economics and finance : a …
61
(
2022
),
pp. 1-46
Persistent link: https://www.econbiz.de/10013449362
Saved in:
5
How does investor attention matter for crude oil prices and returns? : evidence from time-frequency quantile causality analysis
Chen, Qitong
;
Zhu, Huiming
;
Yu, Dongwei
;
Hau, Liya
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013413415
Saved in:
6
Does transaction activity predict Bitcoin returns? : evidence from quantile-on-quantile analysis
Hau, Liya
;
Zhu, Huiming
;
Shahbaz, Muhammad
;
Sun, Wuqin
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012667385
Saved in:
7
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
8
Estimating latent asset-pricing factors
Lettau, Martin
;
Pelger, Markus
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
Saved in:
9
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
10
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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