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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Li, Jia"
~person:"Todorov, Viktor"
~subject:"Martingale"
~subject:"State space model"
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Search: subject_exact:"Estimation theory"
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Volatility
Martingale
State space model
Estimation theory
32
Schätztheorie
32
Volatilität
22
Time series analysis
19
Zeitreihenanalyse
19
Estimation
15
Schätzung
15
Börsenkurs
11
Share price
11
Stochastic process
11
Stochastischer Prozess
11
Capital income
7
High-frequency data
7
Kapitaleinkommen
7
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Stochastic volatility
6
Forecasting model
5
Prognoseverfahren
5
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Consistency
3
Jumps
3
Kalman filter
3
Market microstructure
3
Marktmikrostruktur
3
Martingal
3
Noise Trading
3
Noise trading
3
Option pricing theory
3
Options
3
Optionspreistheorie
3
Regression analysis
3
Regressionsanalyse
3
Specification test
3
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23
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Article in journal
Arbeitspapier
25
Graue Literatur
25
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25
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25
Aufsatz in Zeitschrift
23
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1
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English
23
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Koopman, Siem Jan
Li, Jia
Todorov, Viktor
Kumar, Dilip
17
Maheswaran, S.
14
Tauchen, George Eugene
10
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Wang, Yazhen
6
Bollerslev, Tim
5
Boubaker, Heni
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Bauwens, Luc
4
Clements, Adam
4
Elliott, Robert J.
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
Shephard, Neil G.
4
Shin, Dong-wan
4
Silvennoinen, Annastiina
4
Song, Yuping
4
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Journal of econometrics
15
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 business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
23
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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
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
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:
6
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
7
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
8
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
9
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:
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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