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subject:"Share price"
subject:"Stock index"
~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"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Kapitaleinkommen"
~subject:"Market microstructure"
~subject:"Noise trading"
~subject:"Stochastic process"
~subject:"Theory"
~subject:"VAR-Modell"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Market microstructure
Noise trading
Stochastic process
Theory
VAR-Modell
Estimation
46
Schätzung
46
Volatility
31
Volatilität
31
Time series analysis
24
Zeitreihenanalyse
24
Theorie
19
Estimation theory
18
Schätztheorie
18
Capital income
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Stochastischer Prozess
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Nonparametric statistics
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Prognoseverfahren
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Stochastic volatility
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CAPM
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Marktmikrostruktur
6
Deutschland
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Option pricing theory
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Optionspreistheorie
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Panel
5
Panel study
5
Jumps
4
Martingal
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Martingale
4
Noise Trading
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USA
4
United States
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42
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Chan, Joshua
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
Tauchen, George Eugene
12
Koop, Gary
11
Pesaran, M. Hashem
11
Marcellino, Massimiliano
9
Li, Jia
7
Phillips, Peter C. B.
6
Serletis, Apostolos
6
Aït-Sahalia, Yacine
5
Fleissig, Adrian R.
5
Francq, Christian
5
Ghysels, Eric
5
Haldrup, Niels
5
Kim, Donggyu
5
Steel, Mark F. J.
5
Zakoïan, Jean-Michel
5
Clark, Todd E.
4
Gallant, A. Ronald
4
Gouriéroux, Christian
4
Huber, Florian
4
Lucas, André
4
Nielsen, Morten Ørregaard
4
Ravazzolo, Francesco
4
Su, Liangjun
4
Urbain, Jean-Pierre
4
Wang, Yazhen
4
Westerlund, Joakim
4
Xiu, Dacheng
4
Bansal, Ravi
3
Blundell, Richard W.
3
Casarin, Roberto
3
Castelnuovo, Efrem
3
Diebold, Francis X.
3
Eickmeier, Sandra
3
Ericsson, Neil R.
3
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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
Discussion papers / Deutsches Institut für Wirtschaftsforschung
11
CREATES research paper
6
Journal of financial economics
6
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 papers of interdisciplinary research project 373
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
NBER Working Paper
4
NBER working paper series
4
Working paper / National Bureau of Economic Research, Inc.
4
CESifo working papers
3
DIW Berlin Discussion Paper
3
Econometric reviews
3
Finance and economics discussion series
3
The journal of finance : the journal of the American Finance Association
3
CREATES Research Paper
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
GRIPS discussion papers
2
Quantitative economics : QE ; journal of the Econometric Society
2
Annals of economics and statistics
1
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
1
CAMA Working Paper
1
CFS working paper series
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper series / IZA
1
EUI working paper / ECO
1
EUI working paper / MWP
1
Econometric theory
1
Essays in honor of Cheng Hsiao
1
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ECONIS (ZBW)
42
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1
An unobserved components model of total factor productivity and the relative price of investment
Chan, Joshua
;
Wemy, Edouard
- In:
Macroeconomic dynamics
27
(
2023
)
5
,
pp. 1397-1423
Persistent link: https://www.econbiz.de/10014306799
Saved in:
2
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:
3
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:
4
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
5
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
6
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:
7
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:
8
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
9
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:
10
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
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