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subject:"Share price"
subject:"Stock index"
~isPartOf:"Economic Research Initiatives at Duke (ERID) Working Paper"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~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:"Chan, Joshua"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Lütkepohl, Helmut"
~person:"Todorov, Viktor"
~person:"Westerlund, Joakim"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Kapitaleinkommen"
~subject:"Market microstructure"
~subject:"Noise trading"
~subject:"Panel study"
~subject:"Stochastic process"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Market microstructure
Noise trading
Panel study
Stochastic process
Theory
Estimation
53
Schätzung
53
Volatility
33
Volatilität
33
Time series analysis
27
Zeitreihenanalyse
27
Theorie
22
Estimation theory
19
Schätztheorie
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Nonparametric statistics
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Panel
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Forecasting model
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Option pricing theory
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Optionspreistheorie
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Deutschland
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5
Martingal
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Martingale
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ARCH model
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ARCH-Modell
4
Cointegration
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English
50
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Chan, Joshua
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
Westerlund, Joakim
Tauchen, George Eugene
13
Pesaran, M. Hashem
9
Su, Liangjun
9
Marcellino, Massimiliano
8
Phillips, Peter C. B.
8
Baltagi, Badi H.
7
Koop, Gary
7
Li, Jia
7
Ghysels, Eric
6
Serletis, Apostolos
6
Aït-Sahalia, Yacine
5
Fleissig, Adrian R.
5
Haldrup, Niels
5
Kim, Donggyu
5
Li, Kunpeng
5
Shin, Yongcheol
5
Steel, Mark F. J.
5
Clark, Todd E.
4
Francq, Christian
4
Franses, Philip Hans
4
Gallant, A. Ronald
4
Gao, Jiti
4
Harding, Matthew C.
4
Lamarche, Carlos
4
Lee, Lung-fei
4
Liesenfeld, Roman
4
Linton, Oliver
4
Lucas, André
4
Nielsen, Morten Ørregaard
4
Ravazzolo, Francesco
4
Sickles, Robin C.
4
Urbain, Jean-Pierre
4
Wang, Wendun
4
Wang, Yazhen
4
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Economic Research Initiatives at Duke (ERID) Working Paper
Journal of applied econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
CAMA working paper series
13
CREATES research paper
6
Journal of financial economics
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
ERID working paper
5
Journal of economic dynamics & control
5
SFB 649 discussion paper
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
Discussion paper series / IZA
4
Econometric reviews
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economics letters
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
NBER Working Paper
4
NBER working paper series
4
Working paper / National Bureau of Economic Research, Inc.
4
Finance and economics discussion series
3
IZA Discussion Paper
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
The journal of finance : the journal of the American Finance Association
3
CESifo working papers
2
CREATES Research Paper
2
Cahier de recherche
2
DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
Emerging markets review
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
GRIPS discussion papers
2
International journal of forecasting
2
Journal of financial econometrics
2
Journal of international financial markets, institutions & money
2
Quantitative economics : QE ; journal of the Econometric Society
2
Research memorandum / METEOR
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
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31
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
32
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
33
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus
;
Winkelmann, Lars
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 361-378
Persistent link: https://www.econbiz.de/10011339314
Saved in:
34
Hedonic housing prices in Paris : an unbalanced spatial lag pseudo-panel model with nested random effects
Baltagi, Badi H.
;
Bresson, Georges
;
Etienne, Jean-Michel
- In:
Journal of applied econometrics
30
(
2015
)
3
,
pp. 509-528
Persistent link: https://www.econbiz.de/10011327569
Saved in:
35
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
36
Heterocedasticity robust panel unit root tests
Westerlund, Joakim
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 112-135
Persistent link: https://www.econbiz.de/10010380473
Saved in:
37
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
38
Quantile autoregressive distributed lag model with an application to house price returns
Galvão Júnior, Antônio Fialho
;
Montes-Rojas, Gabriel
; …
- In:
Oxford bulletin of economics and statistics
75
(
2013
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10009754614
Saved in:
39
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
40
Quantile regression for dynamic panel data with fixed effects
Galvão Júnior, Antônio Fialho
- In:
Journal of econometrics
164
(
2011
)
1
,
pp. 142-157
Persistent link: https://www.econbiz.de/10009270393
Saved in:
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