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subject:"Volatility"
type_genre:"Article in journal"
~person:"Jin, Sainan"
~person:"Todorov, Viktor"
~person:"Zakoïan, Jean-Michel"
~subject:"Börsenkurs"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Statistical test
Estimation theory
49
Schätztheorie
49
Estimation
18
Schätzung
18
Volatilität
17
ARCH model
15
ARCH-Modell
15
Time series analysis
15
Zeitreihenanalyse
15
Stochastic process
13
Stochastischer Prozess
13
Share price
12
Theorie
9
Theory
9
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Statistischer Test
8
Capital income
7
Kapitaleinkommen
7
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Panel
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Panel study
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High-frequency data
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Regression analysis
5
Regressionsanalyse
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Risikomaß
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Risk measure
5
Stochastic volatility
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Autocorrelation
4
Autokorrelation
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Bootstrap approach
4
Bootstrap-Verfahren
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Forecasting model
4
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Article in journal
Aufsatz in Zeitschrift
27
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English
27
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Jin, Sainan
Todorov, Viktor
Zakoïan, Jean-Michel
Kumar, Dilip
16
Maheswaran, S.
15
Bera, Anil K.
11
Francq, Christian
11
Li, Jia
11
Tauchen, George Eugene
11
Shi, Xiaoxia
10
Baltagi, Badi H.
9
Cai, Zongwu
9
Dufour, Jean-Marie
9
Phillips, Peter C. B.
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Chen, Yi-ting
8
Ghysels, Eric
8
Perron, Pierre
8
Su, Liangjun
8
White, Halbert
8
Andersen, Torben
7
Andrews, Donald W. K.
7
Demetrescu, Matei
7
Escanciano, Juan Carlos
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Kleibergen, Frank
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Sentana, Enrique
7
Canay, Ivan A.
6
Doğan, Osman
6
Fan, Jianqing
6
Hsu, Yu-Chin
6
Kao, Chihwa
6
Khalaf, Lynda
6
Koopman, Siem Jan
6
Kristensen, Dennis
6
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Journal of econometrics
16
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of applied econometrics
2
Econometric reviews
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic dynamics & control
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
27
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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
Robust forecast superiority testing with an application to assessing pools of expert forecasters
Corradi, Valentina
;
Jin, Sainan
;
Swanson, Norman R.
- In:
Journal of applied econometrics
38
(
2023
)
4
,
pp. 596-622
Persistent link: https://www.econbiz.de/10014288029
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
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:
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
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
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
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
10
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:
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