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subject:"Share price"
subject:"Stock index"
~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:"Noise trading"
~subject:"Stochastic process"
~subject:"Stochastic volatility"
~subject:"Theory"
~type:"article"
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Share price
Stock index
Bayesian Factor-Augmented Model
Kapitaleinkommen
Noise trading
Stochastic process
Stochastic volatility
Theory
Estimation
42
Schätzung
42
Volatility
29
Volatilität
29
Time series analysis
23
Zeitreihenanalyse
23
Estimation theory
18
Schätztheorie
18
Theorie
18
Stochastischer Prozess
16
Capital income
15
High-frequency data
14
Börsenkurs
12
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
CAPM
6
Forecasting model
6
Market microstructure
6
Marktmikrostruktur
6
Prognoseverfahren
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Deutschland
5
Germany
5
Jumps
4
Martingal
4
Martingale
4
Noise Trading
4
Option pricing theory
4
Optionspreistheorie
4
Panel
4
Panel study
4
VAR model
4
VAR-Modell
4
ARCH model
3
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Article in journal
39
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39
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English
39
Author
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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
Li, Jia
7
Aït-Sahalia, Yacine
5
Ghysels, Eric
5
Kim, Donggyu
5
Koop, Gary
5
Serletis, Apostolos
5
Steel, Mark F. J.
5
Francq, Christian
4
Gallant, A. Ronald
4
Haldrup, Niels
4
Marcellino, Massimiliano
4
Pesaran, M. Hashem
4
Su, Liangjun
4
Wang, Yazhen
4
Xiu, Dacheng
4
Zakoïan, Jean-Michel
4
Bansal, Ravi
3
Diebold, Francis X.
3
Ericsson, Neil R.
3
Fleissig, Adrian R.
3
Frühwirth-Schnatter, Sylvia
3
Harvey, Andrew C.
3
Hong, Yongmiao
3
Phillips, Peter C. B.
3
Rahbek, Anders
3
Ravazzolo, Francesco
3
Rossi, Barbara
3
Sickles, Robin C.
3
Taamouti, Abderrahim
3
Timmermann, Allan
3
Tse, Yiu Kuen
3
Westerlund, Joakim
3
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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
Journal of applied econometrics
2
Quantitative economics : QE ; journal of the Econometric Society
2
Annals of economics and statistics
1
Essays in honor of Cheng Hsiao
1
Handbook of economic forecasting ; 1
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)
39
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39
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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
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:
7
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:
8
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:
9
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:
10
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
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