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subject:"Großbritannien"
subject:"Zeitreihenanalyse"
~isPartOf:"Journal of econometrics"
~person:"Chen, Xiaohong"
~person:"Li, Yingying"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Großbritannien
Zeitreihenanalyse
Maximum-Likelihood-Schätzung
Statistische Verteilung
Estimation theory
20
Schätztheorie
20
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Time series analysis
10
Market microstructure
5
Marktmikrostruktur
5
Noise Trading
5
Noise trading
5
Volatility
5
Volatilität
5
Market microstructure noise
4
Capital income
3
Estimation
3
High frequency data
3
Integrated volatility
3
Kapitaleinkommen
3
Schätzung
3
Semiparametric efficiency
3
ARCH model
2
ARCH-Modell
2
Analysis of variance
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
High dimension
2
High-frequency data
2
Irregular functional
2
Maximum likelihood estimation
2
Method of moments
2
Minimum variance portfolio
2
Momentenmethode
2
Multivariate Verteilung
2
Multivariate distribution
2
Portfolio selection
2
Portfolio-Management
2
Realized volatility
2
Share price
2
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Conference paper
2
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2
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English
11
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Chen, Xiaohong
Li, Yingying
Phillips, Peter C. B.
14
Linton, Oliver
10
Taylor, Robert
9
Robinson, Peter M.
8
Lee, Lung-fei
7
Leybourne, Stephen James
7
Todorov, Viktor
7
Li, Jia
6
Xiao, Zhijie
6
Zhu, Ke
6
Andersen, Torben
5
Davis, Richard A.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Dong
5
Li, Kunpeng
5
Li, Qi
5
Park, Joon Y.
5
Sun, Yixiao
5
Tauchen, George Eugene
5
Aït-Sahalia, Yacine
4
Bai, Jushan
4
Baltagi, Badi H.
4
Chambers, Marcus J.
4
Francq, Christian
4
Harvey, David I.
4
Ng, Serena
4
Pesaran, M. Hashem
4
Su, Liangjun
4
White, Halbert
4
Zakoïan, Jean-Michel
4
Baillie, Richard
3
Bollerslev, Tim
3
Chen, Rong
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
Gao, Jiti
3
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Journal of econometrics
CEMMAP working papers / Centre for Microdata Methods and Practice
4
Cowles Foundation discussion paper
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Cowles Foundation Discussion Paper
2
Econometric theory
2
Discussion paper / Department of Economics, University of California San Diego
1
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
1
Handbook of econometrics : volume 6B
1
LSE STICERD Research Paper
1
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ECONIS (ZBW)
11
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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
Copula-based time series with filtered nonstationarity
Chen, Xiaohong
;
Xiao, Zhijie
;
Wang, Bo
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 127-155
Persistent link: https://www.econbiz.de/10013441732
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
Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong
;
Huang, Zhuo
;
Yi, Yanping
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
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
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:
8
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Chen, Xiaohong
;
Christensen, Timothy M.
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 447-465
Persistent link: https://www.econbiz.de/10011503628
Saved in:
9
Likelihood inference in some finite mixture models
Chen, Xiaohong
;
Northwestern University / Department of …
- In:
Journal of econometrics
182
(
2014
)
1
,
pp. 87-99
Persistent link: https://www.econbiz.de/10010497117
Saved in:
10
Sieve inference on possibly misspecified semi-nonparametric time series models
Chen, Xiaohong
;
Liao, Zhipeng
;
Sun, Yixiao
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 639-658
Persistent link: https://www.econbiz.de/10010257367
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