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subject:"Volatility"
type_genre:"Article in journal"
~person:"Doğan, Osman"
~person:"Liu, Zhi"
~person:"Zakoïan, Jean-Michel"
~subject:"Schätzung"
~subject:"Statistical test"
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Search: subject_exact:"Estimation theory"
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Volatility
Schätzung
Statistical test
Estimation theory
43
Schätztheorie
43
ARCH model
15
ARCH-Modell
15
Volatilität
13
Estimation
12
Time series analysis
12
Zeitreihenanalyse
12
Theorie
9
Theory
9
Statistischer Test
8
Autocorrelation
6
Autokorrelation
6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Regional economics
6
Regionalökonomik
6
Börsenkurs
5
Market microstructure
5
Marktmikrostruktur
5
Risikomaß
5
Risk measure
5
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5
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5
Stochastic process
5
Stochastischer Prozess
5
Method of moments
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Momentenmethode
4
Noise Trading
4
Noise trading
4
Capital income
3
Central limit theorem
3
Experiment
3
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3
LM test
3
MLE
3
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17
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Article
23
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Article in journal
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23
Graue Literatur
5
Non-commercial literature
5
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4
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4
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1
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English
23
Author
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Doğan, Osman
Liu, Zhi
Zakoïan, Jean-Michel
Su, Liangjun
18
Kumar, Dilip
16
Phillips, Peter C. B.
16
Cai, Zongwu
15
Kumbhakar, Subal
15
Linton, Oliver
15
Maheswaran, S.
15
Baltagi, Badi H.
14
Gao, Jiti
14
Bera, Anil K.
13
Tauchen, George Eugene
13
Francq, Christian
12
Hsiao, Cheng
12
Hsu, Yu-Chin
12
Li, Jia
12
Todorov, Viktor
12
Li, Qi
11
Shi, Xiaoxia
11
White, Halbert
11
Dufour, Jean-Marie
10
Escanciano, Juan Carlos
10
Ghysels, Eric
10
Jochmans, Koen
10
Lee, Lung-fei
10
Chen, Yi-ting
9
Demetrescu, Matei
9
Kao, Chihwa
9
Kapetanios, George
9
Perron, Pierre
9
Pesaran, M. Hashem
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Koop, Gary
8
Kristensen, Dennis
8
Park, Joon Y.
8
Ramírez, Miguel D.
8
Westerlund, Joakim
8
Andersen, Torben
7
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Journal of econometrics
7
Regional science & urban economics
2
Annals of economics and statistics
1
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
Finance and stochastics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometric methods
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of the American Statistical Association : JASA
1
Spatial economic analysis : the journal of the Regional Studies Association
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics journal
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ECONIS (ZBW)
23
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23
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1
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
2
A new test for non-linear hypotheses under distributional and local parametric misspecification
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 669-685
Persistent link: https://www.econbiz.de/10014506833
Saved in:
3
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
4
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
5
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
6
Specification tests for spatial panel data models
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
; …
-
2020
Persistent link: https://www.econbiz.de/10012271721
Saved in:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
Robust LM tests for spatial dynamic panel data models
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
; …
- In:
Regional science & urban economics
76
(
2019
),
pp. 47-66
Persistent link: https://www.econbiz.de/10012267310
Saved in:
9
Testing spatial dependence in spatial models with endogenous weights matrices
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Journal of econometric methods
8
(
2019
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012022977
Saved in:
10
Simple tests for endogeneity of spatial weights matrices
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Regional science & urban economics
69
(
2018
),
pp. 130-142
Persistent link: https://www.econbiz.de/10012108149
Saved in:
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