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subject:"Volatility"
type_genre:"Article in journal"
~person:"Andersen, Torben"
~person:"Todorov, Viktor"
~type_genre:"Book section"
~type_genre:"Conference paper"
~type_genre:"Konferenzschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
19
Schätztheorie
19
Volatilität
17
Estimation
11
Schätzung
11
Time series analysis
11
Zeitreihenanalyse
11
Stochastic process
9
Stochastischer Prozess
9
Capital income
8
Kapitaleinkommen
8
Börsenkurs
7
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7
Stochastic volatility
6
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5
Induktive Statistik
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Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Regression analysis
4
Regressionsanalyse
4
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4
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3
Martingal
3
Martingale
3
Option pricing theory
3
Options
3
Optionspreistheorie
3
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Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bias
2
Fractional integration
2
Frequency domain inference
2
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2
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2
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2
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Article in journal
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6
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English
17
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Andersen, Torben
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
11
Tauchen, George Eugene
10
Teräsvirta, Timo
9
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Ghysels, Eric
6
Hafner, Christian M.
6
Koopman, Siem Jan
6
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Jing, Bingyi
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Dufour, Jean-Marie
4
Elliott, Robert J.
4
Feng, Yuanhua
4
Fičura, Milan
4
Hwang, Eunju
4
Härdle, Wolfgang
4
Li, Wai Keung
4
Mancino, Maria Elvira
4
McAleer, Michael
4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Song, Yuping
4
Sucarrat, Genaro
4
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Journal of econometrics
14
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Special section on small-sample properties of generalized method of moments (GMM)
1
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ECONIS (ZBW)
17
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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
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
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:
5
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:
6
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:
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
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:
10
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:
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