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subject:"Share price"
subject:"Stock index"
~accessRights:"restricted"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of econometrics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Lütkepohl, Helmut"
~person:"Todorov, Viktor"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Stochastic process"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Noise trading
Stochastic process
Theory
Estimation
18
Schätzung
18
Volatility
16
Volatilität
16
High-frequency data
11
Capital income
10
Time series analysis
10
Zeitreihenanalyse
10
Börsenkurs
9
Estimation theory
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Schätztheorie
8
Nichtparametrisches Verfahren
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Nonparametric statistics
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Stochastischer Prozess
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Forecasting model
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Market microstructure
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Marktmikrostruktur
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Stochastic volatility
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Noise Trading
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Option pricing theory
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Optionspreistheorie
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Theorie
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ARCH model
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ARCH-Modell
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Adaptive estimation
2
Beta
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Beta risk
2
Betafaktor
2
CAPM
2
Induktive Statistik
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Martingal
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Measurement
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
Li, Jia
5
Marcellino, Massimiliano
5
Serletis, Apostolos
5
Tauchen, George Eugene
5
Aït-Sahalia, Yacine
4
Kim, Donggyu
4
Lucas, André
3
Wang, Yazhen
3
Xiu, Dacheng
3
Xu, Libo
3
Afonso, Oscar
2
Asai, Manabu
2
Bailey, Natalia
2
Bandi, Federico M.
2
Carriero, Andrea
2
Christensen, Kim
2
Clark, Todd E.
2
Eickmeier, Sandra
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Forbes, Catherine Scipione
2
Francq, Christian
2
Frühwirth-Schnatter, Sylvia
2
Ghysels, Eric
2
Hallin, Marc
2
Herwartz, Helmut
2
Hong, Yongmiao
2
Hounyo, Ulrich
2
Hurd, Michael D.
2
Jacobi, Liana
2
Kapetanios, George
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Yingying
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
McAleer, Michael
2
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Journal of applied econometrics
Journal of econometrics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
Journal of financial economics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Economics letters
2
Journal of economic dynamics & control
2
Annals of economics and statistics
1
Discussion paper / Centre for Economic Policy Research
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Essays in honor of Cheng Hsiao
1
Handbook of economic forecasting ; 1
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
The review of economic studies
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ECONIS (ZBW)
17
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
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:
3
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
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:
6
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:
7
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
8
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
9
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
Saved in:
10
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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