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subject:"Prognoseverfahren"
subject:"USA"
~isPartOf:"Journal of econometrics"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~person:"Francq, Christian"
~person:"Li, Jia"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Prognoseverfahren
USA
Time series analysis
Estimation theory
17
Schätztheorie
17
ARCH model
10
ARCH-Modell
10
Volatility
10
Volatilität
10
Zeitreihenanalyse
10
Estimation
9
Schätzung
9
Börsenkurs
8
Share price
8
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6
Stochastischer Prozess
6
High-frequency data
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Beta risk
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Betafaktor
3
Capital income
3
Kapitaleinkommen
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
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Risikomaß
3
Risk measure
3
Specification test
3
Statistical test
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Statistischer Test
3
Stochastic volatility
3
Adaptive estimation
2
Beta
2
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2
Bootstrap-Verfahren
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CAPM
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Dynamic portfolio
2
Filtered historical simulation
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Martingal
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Martingale
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11
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Francq, Christian
Li, Jia
Phillips, Peter C. B.
12
Taylor, Robert
12
Leybourne, Stephen James
8
Linton, Oliver
8
Elliott, Graham
6
Stock, James H.
6
Todorov, Viktor
6
Andersen, Torben
5
Chen, Xiaohong
5
Davis, Richard A.
5
Harvey, David I.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Lee, Ji Hyung
5
Li, Qi
5
Li, Yingying
5
Nelson, Daniel B.
5
Robinson, Peter M.
5
Tauchen, George Eugene
5
Xiao, Zhijie
5
Zhu, Ke
5
Abadie, Alberto
4
Angrist, Joshua D.
4
Baltagi, Badi H.
4
Bollerslev, Tim
4
Cai, Zongwu
4
Chambers, Marcus J.
4
Demetrescu, Matei
4
Georgiev, Iliyan
4
McCracken, Michael W.
4
Müller, Ulrich K.
4
Ng, Serena
4
Pesaran, M. Hashem
4
Shephard, Neil G.
4
Sun, Yixiao
4
Tu, Yundong
4
Watson, Mark W.
4
Zakoïan, Jean-Michel
4
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Journal of econometrics
Technical working paper / National Bureau of Economic Research
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Econometric theory
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Cowles Foundation discussion paper
1
ERID working paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Handbook of financial time series
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
Working paper
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ECONIS (ZBW)
11
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
4
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
5
Uniform nonparametric inference for time series
Li, Jia
;
Liao, Zhipeng
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 38-51
Persistent link: https://www.econbiz.de/10012483186
Saved in:
6
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
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