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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:"Galvão Júnior, Antônio Fialho"
~person:"Lütkepohl, Helmut"
~person:"Todorov, Viktor"
~subject:"Bayesian Factor-Augmented Model"
~subject:"Kapitaleinkommen"
~subject:"Noise trading"
~subject:"Theory"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Noise trading
Theory
Estimation
41
Schätzung
41
Volatility
28
Volatilität
28
Time series analysis
21
Zeitreihenanalyse
21
Estimation theory
18
Schätztheorie
18
Capital income
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Theorie
15
High-frequency data
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Stochastic process
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Stochastischer Prozess
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Martingal
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Martingale
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Noise Trading
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Panel study
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34
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Andersen, Torben
Bibinger, Markus
Bollerslev, Tim
Bresson, Georges
Galvão Júnior, Antônio Fialho
Lütkepohl, Helmut
Todorov, Viktor
Tauchen, George Eugene
11
Marcellino, Massimiliano
8
Pesaran, M. Hashem
8
Li, Jia
7
Koop, Gary
6
Phillips, Peter C. B.
6
Serletis, Apostolos
6
Fleissig, Adrian R.
5
Ghysels, Eric
5
Haldrup, Niels
5
Kim, Donggyu
5
Steel, Mark F. J.
5
Aït-Sahalia, Yacine
4
Chan, Joshua
4
Clark, Todd E.
4
Gallant, A. Ronald
4
Lucas, André
4
Nielsen, Morten Ørregaard
4
Ravazzolo, Francesco
4
Su, Liangjun
4
Wang, Yazhen
4
Xiu, Dacheng
4
Bansal, Ravi
3
Blundell, Richard W.
3
Diebold, Francis X.
3
Eickmeier, Sandra
3
Ericsson, Neil R.
3
Forbes, Catherine Scipione
3
Francq, Christian
3
Franses, Philip Hans
3
Frühwirth-Schnatter, Sylvia
3
Harvey, Andrew C.
3
Hautsch, Nikolaus
3
Hong, Yongmiao
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
CREATES research paper
6
Journal of financial economics
6
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
SFB 649 discussion paper
5
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
4
ERID working paper
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
NBER Working Paper
4
NBER working paper series
4
Working paper / National Bureau of Economic Research, Inc.
4
Journal of economic dynamics & control
3
The journal of finance : the journal of the American Finance Association
3
CESifo working papers
2
CREATES Research Paper
2
DIW Berlin Discussion Paper
2
Discussion papers of interdisciplinary research project 373
2
Economics letters
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Finance and economics discussion series
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
CFS working paper series
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Cahier / Départment de Sciences Économiques, Université de Montréal
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Discussion paper / Centre for Economic Policy Research
1
Discussion paper series / IZA
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EUI working paper / ECO
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EUI working paper / MWP
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Essays in honor of Cheng Hsiao
1
Handbook of economic forecasting ; 1
1
IZA Discussion Paper
1
Insper working paper / Insper, Instituto de Ensino e Pesquisa
1
International economic review
1
Journal of financial and quantitative analysis : JFQA
1
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ECONIS (ZBW)
34
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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
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:
5
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:
6
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:
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
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10012262503
Saved in:
10
Rank tests at jump events
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Lin, Huidi
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
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