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subject:"Share price"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~subject:"ARCH-Modell"
~subject:"Volatility"
~type_genre:"Rezension"
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Search: subject_exact:"Estimation theory"
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Share price
ARCH-Modell
Volatility
Estimation theory
312
Schätztheorie
312
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239
Theory
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Statistical theory
45
Statistische Methodenlehre
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Tauchen, George Eugene
3
Li, Jia
2
Nelson, Daniel B.
2
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1
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1
Francq, Christian
1
Gallant, A. Ronald
1
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1
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1
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Li, Yingying
1
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1
Rahbek, Anders
1
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1
Sakata, Shinichi
1
Todorov, Viktor
1
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1
White, Halbert
1
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1
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1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
154
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Econometric theory
49
Economics letters
42
Journal of empirical finance
35
Econometric reviews
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of banking & finance
24
Economic modelling
22
Finance research letters
21
Quantitative finance
20
The econometrics journal
20
Journal of financial econometrics
19
Journal of forecasting
19
International journal of forecasting
18
International journal of economics and financial issues : IJEFI
16
Journal of risk and financial management : JRFM
15
The North American journal of economics and finance : a journal of financial economics studies
15
International journal of theoretical and applied finance
14
Applied economics
13
Journal of mathematical finance
13
Journal of risk
13
Computational economics
12
Econometrics : open access journal
12
Applied economics letters
11
Journal of time series econometrics
11
The European journal of finance
11
International review of financial analysis
10
Applied financial economics
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of economic dynamics & control
9
Journal of financial economics
9
The journal of finance : the journal of the American Finance Association
9
Finance and stochastics
8
Journal of applied econometrics
8
Journal of financial and quantitative analysis : JFQA
8
The journal of risk model validation
8
The review of financial studies
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ECONIS (ZBW)
14
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1
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
2
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
3
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
4
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
5
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
2
,
pp. 821-861
Persistent link: https://www.econbiz.de/10009534937
Saved in:
6
Asymptotic normality of the QMLE estimator of ARCH in the nonstationary case
Jensen, Søren Tolver
;
Rahbek, Anders
- In:
Econometrica : journal of the Econometric Society, an …
72
(
2004
)
2
,
pp. 641-646
Persistent link: https://www.econbiz.de/10001978054
Saved in:
7
The econometrics of ultra-high-frequency data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
Saved in:
8
High breakdown point conditional dispersion estimation with application to S&P 500 daily returns to volatility
Sakata, Shinichi
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
3
,
pp. 529-567
Persistent link: https://www.econbiz.de/10001240761
Saved in:
9
Bayesian vector autoregressions with stochastic volatility
Uhlig, Harald
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
1
,
pp. 59-73
Persistent link: https://www.econbiz.de/10001217067
Saved in:
10
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
Saved in:
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