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subject:"Share price"
subject:"Stock index"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial economics"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Oxford bulletin of economics and statistics"
~person:"Andersen, Torben"
~person:"Bibinger, Markus"
~person:"Bollerslev, Tim"
~person:"Bresson, Georges"
~person:"Franses, Philip Hans"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Galvão Júnior, Antônio Fialho"
~person:"Ghysels, Eric"
~person:"Lütkepohl, Helmut"
~person:"Steel, Mark F. J."
~subject:"Bayesian Factor-Augmented Model"
~subject:"Correlation"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Correlation
Kapitaleinkommen
Noise trading
Theory
Estimation
58
Schätzung
58
Theorie
27
Volatility
25
Volatilität
25
Time series analysis
20
Zeitreihenanalyse
20
Capital income
18
Estimation theory
15
Schätztheorie
15
Forecasting model
14
Prognoseverfahren
14
Börsenkurs
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High-frequency data
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Risk premium
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Panel study
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Stochastischer Prozess
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Risiko
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Risk
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Bayes-Statistik
5
Bayesian inference
5
Deutschland
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Germany
5
Markov chain
5
Markov-Kette
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Regression analysis
5
Regressionsanalyse
5
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49
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1
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1
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English
49
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Franses, Philip Hans
Frühwirth-Schnatter, Sylvia
Galvão Júnior, Antônio Fialho
Ghysels, Eric
Lütkepohl, Helmut
Steel, Mark F. J.
Todorov, Viktor
18
Tauchen, George Eugene
12
Li, Jia
7
Timmermann, Allan
6
Aït-Sahalia, Yacine
5
Kelly, Bryan T.
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
5
Su, Liangjun
5
Bansal, Ravi
4
Chan, Joshua
4
Gallant, A. Ronald
4
Haldrup, Niels
4
Hong, Harrison G.
4
Marcellino, Massimiliano
4
Patton, Andrew J.
4
Pesaran, M. Hashem
4
Phillips, Peter C. B.
4
Scaillet, Olivier
4
Wang, Yazhen
4
Westerlund, Joakim
4
Xiu, Dacheng
4
Bali, Turan G.
3
Bekaert, Geert
3
D'Amico, Stefania
3
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Francq, Christian
3
Harvey, Andrew C.
3
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Journal of financial economics
Macroeconomic dynamics
Oxford bulletin of economics and statistics
Discussion paper / Centre for Economic Policy Research
7
CREATES research paper
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Working paper / National Bureau of Economic Research, Inc.
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
NBER Working Paper
4
NBER working paper series
4
SFB 649 discussion paper
4
Discussion paper series / IZA
3
ERID working paper
3
Econometric Institute research papers
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of economic dynamics & control
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
Working paper / Austrian Center for Labor Economics and the Analysis of the Welfare State
3
CESifo working papers
2
CREATES Research Paper
2
DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
Econometric reviews
2
Economics letters
2
Finance and economics discussion series
2
Journal of applied econometrics
2
Journal of financial econometrics
2
Journal of international money and finance
2
Report / Erasmus Center for Financial Research, Erasmus University
2
Research paper series / Swiss Finance Institute
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Applied financial economics
1
Applied mathematical finance
1
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
1
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ECONIS (ZBW)
49
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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
Machine learning panel data regressions with heavy-tailed dependent data : theory and application
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
Saved in:
4
The jump leverage risk premium
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
Saved in:
5
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
6
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:
7
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
8
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
9
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:
10
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
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