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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Econometrics of risk"
~isPartOf:"Journal of econometrics"
~person:"Christensen, Kim"
~person:"Engle, Robert F."
~person:"Gouriéroux, Christian"
~person:"Li, Jia"
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Time series analysis
United States
Estimation
13
Schätzung
13
Zeitreihenanalyse
10
Volatility
8
Volatilität
8
Estimation theory
7
Schätztheorie
7
Börsenkurs
6
High-frequency data
6
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Share price
6
Stochastic process
4
Stochastic volatility
4
Stochastischer Prozess
4
Market microstructure
3
Marktmikrostruktur
3
Microstructure noise
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Capital income
2
Identification
2
Induktive Statistik
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Martingal
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2
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2
Noise Trading
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Noise trading
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Pre-averaging
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English
11
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Christensen, Kim
Engle, Robert F.
Gouriéroux, Christian
Li, Jia
Todorov, Viktor
7
Bollerslev, Tim
5
Kim, Donggyu
5
Koop, Gary
5
Tauchen, George Eugene
5
Andersen, Torben
3
Baltagi, Badi H.
3
Fan, Jianqing
3
Patton, Andrew J.
3
Phillips, Peter C. B.
3
Taylor, Robert
3
Wang, Yazhen
3
Aruoba, S. Borağan
2
Aït-Sahalia, Yacine
2
Barigozzi, Matteo
2
Diebold, Francis X.
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Fulop, Andras
2
Hallin, Marc
2
Han, Xu
2
Hounyo, Ulrich
2
Inoue, Atsushi
2
Kao, Chihwa
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
La Vecchia, Davide
2
Li, Yingying
2
McAleer, Michael
2
Medeiros, Marcelo C.
2
Mroz, Thomas A.
2
Quaedvlieg, Rogier
2
Robinson, Peter M.
2
Ryu, Hang-keun
2
Slottje, Daniel Jonathan
2
Steel, Mark F. J.
2
Su, Liangjun
2
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Econometrics of risk
Journal of econometrics
Discussion paper / Department of Economics, University of California San Diego
7
Working paper / National Bureau of Economic Research, Inc.
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Discussion paper / Centre for Economic Policy Research
2
Série des documents de travail
2
The journal of finance : the journal of the American Finance Association
2
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
2
Annals of economics and statistics
1
Econometric theory
1
Forecasting volatility in the financial markets
1
Journal of economic literature
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of financial markets
1
Quantitative economics : QE ; journal of the Econometric Society
1
Review of derivatives research
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The review of economic studies : RES
1
The review of financial studies
1
Working paper series / Czech National Bank
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ECONIS (ZBW)
11
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1
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:
2
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:
3
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 613-637
Persistent link: https://www.econbiz.de/10012149372
Saved in:
4
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
5
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
6
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
7
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
8
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
9
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
10
Noncausal autoregressive model in application to bitcoin/USD exchange rates
Hencic, Andrew
;
Gouriéroux, Christian
- In:
Econometrics of risk
,
(pp. 17-40)
.
2015
Persistent link: https://www.econbiz.de/10010498586
Saved in:
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