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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~person:"Andersen, Torben"
~person:"Bai, Jushan"
~person:"Maheswaran, S."
~subject:"Panel study"
~type_genre:"Government document"
~type_genre:"Mehrbändiges Werk"
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Search: subject_exact:"Estimation theory"
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Volatility
Panel study
Estimation theory
15
Schätztheorie
15
Panel
7
Time series analysis
6
Volatilität
6
Zeitreihenanalyse
6
Factor analysis
4
Faktorenanalyse
4
Capital income
3
Forecasting model
3
Induktive Statistik
3
Kapitaleinkommen
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Prognoseverfahren
3
Statistical inference
3
Analysis of variance
2
Correlation
2
Cross-sectional correlation
2
Estimation
2
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Frequency domain inference
2
Heteroskedasticity
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High dimensionality
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Market microstructure
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Market microstructure noise
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Marktmikrostruktur
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Noise Trading
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Noise trading
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Schätzung
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Statistical test
2
Statistischer Test
2
Stochastic process
2
Stochastic volatility
2
Stochastischer Prozess
2
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2
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2
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Article in journal
Government document
Mehrbändiges Werk
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12
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English
12
Author
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Andersen, Torben
Bai, Jushan
Maheswaran, S.
Todorov, Viktor
10
Su, Liangjun
9
Baltagi, Badi H.
7
Tauchen, George Eugene
7
Li, Jia
6
Li, Kunpeng
6
Gao, Jiti
5
Hsiao, Cheng
5
Kim, Donggyu
5
Lee, Lung-fei
5
Li, Yingying
5
Peng, Bin
5
Francq, Christian
4
Mykland, Per A.
4
Robinson, Peter M.
4
Sarafidis, Vasilis
4
Westerlund, Joakim
4
Yu, Jihai
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Feng, Guohua
3
Fernández-Val, Iván
3
Kao, Chihwa
3
Li, Guodong
3
Linton, Oliver
3
Meddahi, Nour
3
Park, Joon Y.
3
Pesaran, M. Hashem
3
Phillips, Peter C. B.
3
Sun, Yiguo
3
Sun, Yixiao
3
Trapani, Lorenzo
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Weidner, Martin
3
Yang, Zhenlin
3
Zhang, Lan
3
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Journal of econometrics
Economic modelling
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of quantitative economics
2
Annals of economics and finance
1
Cogent economics & finance
1
Decision
1
Econometric reviews
1
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance India : the quarterly journal of Indian Institute of Finance
1
Financial markets and portfolio management
1
IIMB management review
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Macroeconomics and finance in emerging market economies
1
Special section on small-sample properties of generalized method of moments (GMM)
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The econometrics journal
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
12
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1
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:
2
Factor-based imputation of missing values and covariances in panel data of large dimensions
Cahan, Ercument
;
Bai, Jushan
;
Ng, Serena
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 113-131
Persistent link: https://www.econbiz.de/10014340963
Saved in:
3
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
4
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
5
Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
Ando, Tomohiro
;
Bai, Jushan
;
Li, Kunpeng
- In:
Journal of econometrics
230
(
2022
)
1
,
pp. 20-38
Persistent link: https://www.econbiz.de/10013441911
Saved in:
6
Dynamic spatial panel data models with common shocks
Bai, Jushan
;
Li, Kunpeng
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 134-160
Persistent link: https://www.econbiz.de/10013275367
Saved in:
7
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
8
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
9
Inferences in panel data with interactive effects using large covariance matrices
Bai, Jushan
;
Liao, Yuan
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 59-78
Persistent link: https://www.econbiz.de/10011897698
Saved in:
10
Common breaks in means and variances for panel data
Bai, Jushan
- In:
Journal of econometrics
157
(
2010
)
1
,
pp. 78-92
Persistent link: https://www.econbiz.de/10008661845
Saved in:
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