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subject:"Volatility"
type_genre:"Article in journal"
~person:"Elliott, Robert J."
~person:"Todorov, Viktor"
~subject:"ARCH-Modell"
~subject:"Option pricing theory"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Option pricing theory
Estimation theory
17
Schätztheorie
17
Volatilität
16
Estimation
10
Schätzung
10
Stochastic process
9
Stochastischer Prozess
9
Börsenkurs
7
Share price
7
Time series analysis
7
Zeitreihenanalyse
7
Capital income
5
High-frequency data
5
Kapitaleinkommen
5
Optionspreistheorie
5
Stochastic volatility
5
ARCH model
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Martingal
3
Martingale
3
Options
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
CAPM
2
Induktive Statistik
2
Jumps
2
Laplace transform
2
Markov chain
2
Markov-Kette
2
Option trading
2
Optionsgeschäft
2
Regression analysis
2
Regressionsanalyse
2
Semimartingale
2
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Article
17
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Article in journal
Bibliografie enthalten
Aufsatz in Zeitschrift
17
Arbeitspapier
4
Graue Literatur
4
Non-commercial literature
4
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4
Language
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English
17
Author
All
Elliott, Robert J.
Todorov, Viktor
Francq, Christian
19
Kumar, Dilip
16
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Li, Jia
12
Tauchen, George Eugene
11
Hafner, Christian M.
9
Linton, Oliver
8
Liu, Zhi
8
Rahbek, Anders
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
McAleer, Michael
7
Mykland, Per A.
7
Ardia, David
6
Bollerslev, Tim
6
Fan, Jianqing
6
Härdle, Wolfgang
6
Koopman, Siem Jan
6
Li, Wai Keung
6
Ling, Shiqing
6
Wang, Yazhen
6
Aït-Sahalia, Yacine
5
Bauwens, Luc
5
Ghysels, Eric
5
Horváth, Lajos
5
Jing, Bingyi
5
Kristensen, Dennis
5
Li, Guodong
5
Paolella, Marc S.
5
Shephard, Neil G.
5
Shin, Dong-wan
5
Sucarrat, Genaro
5
Taylor, Stephen
5
Wu, Xinyu
5
Zhu, Ke
5
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Journal of econometrics
10
Applied mathematical finance
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
European journal of operational research : EJOR
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Oberwolfach
1
The European journal of finance
1
The econometrics journal
1
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ECONIS (ZBW)
17
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1
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:
2
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:
3
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:
4
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:
5
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
6
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:
7
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:
8
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
1
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