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subject:"Volatility"
type_genre:"Article in journal"
~person:"Elliott, Robert J."
~person:"Tauchen, George Eugene"
~subject:"Kapitaleinkommen"
~subject:"Martingal"
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Search: subject_exact:"Estimation theory"
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Volatility
Kapitaleinkommen
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Estimation theory
25
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12
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Elliott, Robert J.
Tauchen, George Eugene
Kumar, Dilip
17
Maheswaran, S.
16
Li, Jia
12
Todorov, Viktor
12
Andersen, Torben
8
Francq, Christian
8
Li, Yingying
8
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8
Teräsvirta, Timo
8
Kim, Donggyu
7
Mykland, Per A.
7
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6
Koopman, Siem Jan
6
Taylor, Robert
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Linton, Oliver
5
Rodrigues, Paulo M. M.
5
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4
Aït-Sahalia, Yacine
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Clements, Adam
4
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4
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Luger, Richard
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Mancino, Maria Elvira
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Nolte, Ingmar
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Journal of econometrics
7
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1
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
15
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11
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
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12
Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
Elliott, Robert J.
;
Krishnamurthy, Vikram
;
Sass, Jörn
- In:
The econometrics journal
11
(
2008
)
2
,
pp. 244-270
Persistent link: https://www.econbiz.de/10003750782
Saved in:
13
Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10001336798
Saved in:
14
Estimation of continuous-time models for stock returns and interest rates
Gallant, A. Ronald
- In:
Macroeconomic dynamics
1
(
1997
)
1
,
pp. 135-168
Persistent link: https://www.econbiz.de/10001337436
Saved in:
15
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
Chesney, Marc
;
Elliott, Robert J.
;
Madan, Dilip B.
; …
- In:
Mathematical finance : an international journal of …
3
(
1993
)
2
,
pp. 85-99
Persistent link: https://www.econbiz.de/10001333352
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