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subject:"Volatility"
type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Dufour, Jean-Marie"
~person:"Koopman, Siem Jan"
~subject:"Autoregressive conditional duration"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Monte Carlo simulation
Estimation theory
46
Schätztheorie
46
Theorie
14
Theory
14
Time series analysis
14
Volatilität
14
Zeitreihenanalyse
14
Statistical test
11
Statistischer Test
11
Monte-Carlo-Simulation
9
Capital income
7
Forecasting model
7
Induktive Statistik
7
Kapitaleinkommen
7
Prognoseverfahren
7
Statistical inference
7
Estimation
6
Schätzung
6
Statistical theory
6
Statistische Methodenlehre
6
Regression analysis
5
Regressionsanalyse
5
Stochastic process
5
Stochastischer Prozess
5
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Simulation
4
Stochastic volatility
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ARCH model
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ARCH-Modell
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Börsenkurs
3
Consistency
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Fractional integration
3
Kalman filter
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Markov chain
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Markov-Kette
3
Monte Carlo test
3
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Article
19
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Article in journal
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19
Aufsatz in Zeitschrift
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Andersen, Torben
Dufour, Jean-Marie
Koopman, Siem Jan
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Francq, Christian
8
Mykland, Per A.
8
Teräsvirta, Timo
8
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Shin, Dong-wan
6
Tsionas, Efthymios G.
6
Wang, Yazhen
6
Zhang, Xibin
6
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Li, Yong
5
McAleer, Michael
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Boubaker, Heni
4
Cavaliere, Giuseppe
4
Clements, Adam
4
Corsi, Fulvio
4
Elliott, Robert J.
4
Fingleton, Bernard
4
Fičura, Milan
4
Hwang, Eunju
4
Kilian, Lutz
4
Korn, Ralf
4
Lechner, Michael
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Journal of econometrics
11
Econometric reviews
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Special section on small-sample properties of generalized method of moments (GMM)
1
The econometrics journal
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ECONIS (ZBW)
19
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19
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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
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:
3
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:
4
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
5
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
6
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:
7
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
8
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory
Doko Tchatoka, Firmin
;
Dufour, Jean-Marie
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 390-418
Persistent link: https://www.econbiz.de/10012483007
Saved in:
9
Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors
Coudin, Elise
;
Dufour, Jean-Marie
- In:
Econometric reviews
39
(
2020
)
8
,
pp. 763-791
Persistent link: https://www.econbiz.de/10012295580
Saved in:
10
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
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