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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometric theory"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"International journal of economics and financial issues : IJEFI"
~subject:"Instrumental variables"
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Volatility
Instrumental variables
Estimation theory
1,072
Schätztheorie
1,072
Theorie
524
Theory
524
Time series analysis
207
Zeitreihenanalyse
207
Nichtparametrisches Verfahren
139
Nonparametric statistics
139
Regression analysis
108
Regressionsanalyse
108
Statistical theory
67
Statistische Methodenlehre
67
Estimation
62
Schätzung
62
Statistical test
55
Statistischer Test
55
ARCH model
51
ARCH-Modell
51
Cointegration
39
Kointegration
39
Autocorrelation
37
Autokorrelation
37
Induktive Statistik
37
Panel
37
Panel study
37
Statistical inference
37
Method of moments
34
Momentenmethode
34
Volatilität
30
Statistical distribution
29
Statistische Verteilung
29
Probability theory
28
Wahrscheinlichkeitsrechnung
28
IV-Schätzung
26
Einheitswurzeltest
24
Unit root test
24
USA
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United States
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55
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Article in journal
Aufsatz in Zeitschrift
55
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English
55
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Li, Jia
4
Chamberlain, Gary
2
Chao, John C.
2
Hillier, Grant H.
2
Johannes, Jan
2
Linton, Oliver
2
Swanson, Norman R.
2
Tauchen, George Eugene
2
Todorov, Viktor
2
Andrews, Donald W. K.
1
Andrews, Isaiah
1
Belasri, Yassine
1
Breunig, Christoph
1
Caetano, Carolina
1
Cavaliere, Giuseppe
1
Chen, Xiaohong
1
Chernozhukov, Victor
1
Chesher, Andrew
1
Crudu, Federico
1
Daei-Karimzadeh, Saeed
1
Daryanto, Arief
1
Deo, Rohit S.
1
Ellaia, Rachid
1
Florens, Jean-Pierre
1
Foster, Dean P.
1
Francq, Christian
1
Freyberger, Joachim
1
Ghysels, Eric
1
Hahn, Jinyong
1
Hamzaoui, Nessrine
1
Hansen, Bruce E.
1
Hansen, Christian Bailey
1
Harvey, David I.
1
Hausman, Jerry A.
1
Hayakawa, Kazuhiko
1
Horowitz, Joel
1
Hosseinzadeh, Maryam
1
Hsu, Yuan-Teng
1
Hurvich, Clifford M.
1
Jacod, Jean
1
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Econometric theory
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
International journal of economics and financial issues : IJEFI
Journal of econometrics
184
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
41
Econometric reviews
36
The econometrics journal
26
Economic modelling
20
Journal of empirical finance
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
16
Econometrics : open access journal
15
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
Quantitative economics : QE ; journal of the Econometric Society
12
The North American journal of economics and finance : a journal of financial economics studies
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Computational economics
9
Journal of quantitative economics
9
Applied economics letters
8
Finance and stochastics
8
Applied economics
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of econometric methods
7
Journal of mathematical finance
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Journal of the American Statistical Association : JASA
6
The European journal of finance
6
The journal of risk model validation
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
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ECONIS (ZBW)
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31
A test of exogeneity without instrumental variables in models with bunching
Caetano, Carolina
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
4
,
pp. 1581-1600
Persistent link: https://www.econbiz.de/10011405088
Saved in:
32
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:
33
Fast convergence rates in estimating large volatility matrices using high-frequency financial data
Tao, Minjing
;
Wang, Yazhen
;
Chen, Xiaohong
- In:
Econometric theory
29
(
2013
)
4
,
pp. 838-856
Persistent link: https://www.econbiz.de/10010210158
Saved in:
34
Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
Levine, Michael
;
Li, Jinguang
- In:
Econometric theory
28
(
2012
)
3
,
pp. 629-669
Persistent link: https://www.econbiz.de/10009545818
Saved in:
35
Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
Chao, John C.
;
Swanson, Norman R.
;
Hausman, Jerry A.
; …
- In:
Econometric theory
28
(
2012
)
1
,
pp. 42-86
Persistent link: https://www.econbiz.de/10009520974
Saved in:
36
Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe
;
Harvey, David I.
;
Leybourne, …
- In:
Econometric theory
27
(
2011
)
5
,
pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
Saved in:
37
Estimation of a semiparametric IGARCH (1,1) model
Kim, Woocheol
;
Linton, Oliver
- In:
Econometric theory
27
(
2011
)
3
,
pp. 639-661
Persistent link: https://www.econbiz.de/10009266722
Saved in:
38
Identification and estimation by penalization in nonparametric instrumental regression
Florens, Jean-Pierre
;
Johannes, Jan
;
Van Bellegem, …
- In:
Econometric theory
27
(
2011
)
3
,
pp. 472-496
Persistent link: https://www.econbiz.de/10009266732
Saved in:
39
Constructing optimal instruments by first-stage prediction averaging
Kuersteiner, Guido M.
;
Okui, Ryo
- In:
Econometrica : journal of the Econometric Society, an …
78
(
2010
)
2
,
pp. 697-718
Persistent link: https://www.econbiz.de/10003989327
Saved in:
40
Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut E. D.
- In:
Econometric theory
26
(
2010
)
2
,
pp. 331-368
Persistent link: https://www.econbiz.de/10003968591
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