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subject:"Prognoseverfahren"
subject:"Regression analysis"
~isPartOf:"Journal of econometrics"
~person:"Cai, Zongwu"
~person:"Mykland, Per A."
~subject:"Kointegration"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
Regression analysis
Kointegration
Volatility
Estimation theory
20
Schätztheorie
20
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Regressionsanalyse
6
Microstructure
4
Statistical test
4
Statistischer Test
4
Time series analysis
4
Volatilität
4
Zeitreihenanalyse
4
Asynchronous times
3
Capital income
3
Consistency
3
Discrete observation
3
Estimation
3
Kapitaleinkommen
3
Leverage effect
3
Market microstructure
3
Marktmikrostruktur
3
Robust estimation
3
Schätzung
3
Börsenkurs
2
CAPM
2
Econometrics
2
Efficiency
2
Equivalent martingale measure
2
Forecasting model
2
Irregular times
2
Modellierung
2
Nichtlineare Regression
2
Nonlinear regression
2
Panel
2
Panel study
2
Pre-averaging
2
Realized volatility
2
Robust statistics
2
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English
9
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Cai, Zongwu
Mykland, Per A.
Phillips, Peter C. B.
10
Todorov, Viktor
10
Chen, Songnian
8
Linton, Oliver
8
Robinson, Peter M.
7
Sun, Yiguo
7
Tauchen, George Eugene
7
Taylor, Robert
7
Tu, Yundong
7
Andersen, Torben
6
Lee, Ji Hyung
6
Li, Degui
6
Li, Jia
6
Li, Qi
6
Su, Liangjun
6
Kim, Donggyu
5
Li, Yingying
5
Park, Joon Y.
5
Breunig, Christoph
4
Corradi, Valentina
4
Demetrescu, Matei
4
Fan, Jianqing
4
Fan, Yanqin
4
Florens, Jean-Pierre
4
Francq, Christian
4
Gao, Jiti
4
Georgiev, Iliyan
4
Hansen, Christian Bailey
4
Koopman, Siem Jan
4
Sasaki, Yuya
4
Simoni, Anna
4
Swanson, Norman R.
4
Varneskov, Rasmus Tangsgaard
4
Xiao, Zhijie
4
Xu, Ke-Li
4
Yu, Ping
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
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Journal of econometrics
Working papers series in theoretical and applied economics
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of the American Statistical Association : JASA
2
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
1
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
Economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
LSE STICERD Research Paper
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ECONIS (ZBW)
9
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1
The distribution of rolling regression estimators
Cai, Zongwu
;
Juhl, Ted
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1447-1463
Persistent link: https://www.econbiz.de/10014471400
Saved in:
2
A new robust inference for predictive quantile regression
Cai, Zongwu
;
Chen, Haiqiang
;
Liao, Xiaosai
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 227-250
Persistent link: https://www.econbiz.de/10014364804
Saved in:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
5
A semiparametric quantile panel data model with an application to estimating the growth effect of FDI
Cai, Zongwu
;
Chen, Linna
;
Fang, Ying
- In:
Journal of econometrics
206
(
2018
)
2
,
pp. 531-553
Persistent link: https://www.econbiz.de/10012110412
Saved in:
6
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
7
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
8
Testing predictive regression models with nonstationary regressors
Cai, Zongwu
;
Wang, Yunfei
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 4-14
Persistent link: https://www.econbiz.de/10010254993
Saved in:
9
Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
Cai, Zongwu
;
Xiao, Zhijie
- In:
Journal of econometrics
167
(
2012
)
2
,
pp. 413-425
Persistent link: https://www.econbiz.de/10009612844
Saved in:
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