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subject:"Volatility"
type_genre:"Article in journal"
~person:"Koopman, Siem Jan"
~person:"Li, Yingying"
~person:"Liu, Zhi"
~subject:"Bayesian inference"
~subject:"Forecasting model"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Forecasting model
Estimation theory
29
Schätztheorie
29
Volatilität
19
Time series analysis
18
Zeitreihenanalyse
18
Market microstructure
11
Marktmikrostruktur
11
Estimation
9
Noise Trading
9
Noise trading
9
Schätzung
9
Capital income
6
Kapitaleinkommen
6
Börsenkurs
5
High frequency data
5
Market microstructure noise
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Prognoseverfahren
5
Share price
5
Analysis of variance
4
Central limit theorem
4
Integrated volatility
4
Martingal
4
Martingale
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Varianzanalyse
4
ARCH model
3
ARCH-Modell
3
Consistency
3
High-frequency data
3
Kalman filter
3
Microstructure noise
3
State space model
3
Zustandsraummodell
3
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16
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Article
22
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Article in journal
Aufsatz in Zeitschrift
22
Graue Literatur
15
Non-commercial literature
15
Arbeitspapier
14
Working Paper
14
Aufsatz im Buch
1
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English
22
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Koopman, Siem Jan
Li, Yingying
Liu, Zhi
Kumar, Dilip
16
Tsionas, Efthymios G.
15
Maheswaran, S.
14
Teräsvirta, Timo
12
Todorov, Viktor
12
Zhang, Xinyu
12
Li, Jia
11
Tauchen, George Eugene
11
Zhang, Xibin
10
Andersen, Torben
8
Baltagi, Badi H.
8
Cai, Zongwu
8
Francq, Christian
8
Koop, Gary
8
Shang, Han Lin
8
Swanson, Norman R.
8
Demetrescu, Matei
7
Kim, Donggyu
7
Lahiri, Kajal
7
Mykland, Per A.
7
Taylor, James W.
7
Taylor, Robert
7
Tsay, Ruey S.
7
Allenby, Greg M.
6
Fan, Jianqing
6
Gallant, A. Ronald
6
Gao, Jiti
6
Hafner, Christian M.
6
Han, Xiaoyi
6
Kapetanios, George
6
Lesage, James P.
6
Linton, Oliver
6
Phillips, Peter C. B.
6
Sbrana, Giacomo
6
Ullah, Aman
6
Wang, Shouyang
6
Wang, Yazhen
6
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Journal of econometrics
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Econometric reviews
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
International journal of forecasting
1
Journal of financial econometrics
1
Journal of the American Statistical Association : JASA
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
22
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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
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:
3
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
4
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:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
7
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
8
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
9
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
10
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
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