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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"
~type_genre:"Aufsatz in Zeitschrift"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Market microstructure
Noise trading
Stochastic process
Theory
Estimation
46
Schätzung
46
Volatility
31
Volatilität
31
Time series analysis
24
Zeitreihenanalyse
24
Theorie
19
Estimation theory
18
Schätztheorie
18
Capital income
17
Stochastischer Prozess
16
High-frequency data
14
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Nichtparametrisches Verfahren
8
Nonparametric statistics
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Forecasting model
7
Prognoseverfahren
7
Stochastic volatility
7
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6
Marktmikrostruktur
6
Deutschland
5
Germany
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Option pricing theory
5
Optionspreistheorie
5
Panel
5
Panel study
5
Jumps
4
Martingal
4
Martingale
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Noise Trading
4
USA
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42
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Aufsatz in Zeitschrift
Article in journal
42
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English
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
Marcellino, Massimiliano
8
Pesaran, M. Hashem
8
Koop, Gary
7
Li, Jia
7
Phillips, Peter C. B.
6
Serletis, Apostolos
6
Aït-Sahalia, Yacine
5
Fleissig, Adrian R.
5
Ghysels, Eric
5
Haldrup, Niels
5
Kim, Donggyu
5
Steel, Mark F. J.
5
Clark, Todd E.
4
Francq, Christian
4
Gallant, A. Ronald
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
Zakoïan, Jean-Michel
4
Bansal, Ravi
3
Blundell, Richard W.
3
Eickmeier, Sandra
3
Ericsson, Neil R.
3
Fan, Jianqing
3
Forbes, Catherine Scipione
3
Franses, Philip Hans
3
Frühwirth-Schnatter, Sylvia
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
Journal of financial economics
6
Journal of economic dynamics & control
5
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
3
The journal of finance : the journal of the American Finance Association
3
Econometric reviews
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Quantitative economics : QE ; journal of the Econometric Society
2
Annals of economics and statistics
1
International economic review
1
International journal of forecasting
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial markets
1
Journal of international money and finance
1
Journal of money, credit and banking : JMCB
1
Journal of urban economics
1
Nonparametric dynamic modelling
1
Revue d'économie politique
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The review of economic studies
1
The review of financial studies
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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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