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subject:"Volatility"
type_genre:"Article in journal"
~person:"Kumar, Dilip"
~person:"Li, Yingying"
~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
51
Schätztheorie
51
Volatilität
28
ARCH model
27
ARCH-Modell
27
Time series analysis
18
Zeitreihenanalyse
18
Estimation
17
Schätzung
17
Capital income
13
Forecasting model
13
Kapitaleinkommen
13
Prognoseverfahren
13
Share price
12
Theorie
9
Theory
9
Market microstructure
7
Marktmikrostruktur
7
Forecast evaluation
6
Noise Trading
6
Noise trading
6
Risikomaß
6
Risk measure
6
Ausreißer
5
Market microstructure noise
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Outliers
5
Volatility modeling
5
Bias
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Portfolio selection
4
Portfolio-Management
4
Stochastic process
4
Stochastischer Prozess
4
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4
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Article in journal
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32
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English
32
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Kumar, Dilip
Li, Yingying
Zakoïan, Jean-Michel
Maheswaran, S.
15
Li, Jia
12
Todorov, Viktor
12
Bera, Anil K.
11
Francq, Christian
11
Tauchen, George Eugene
11
Shi, Xiaoxia
10
Baltagi, Badi H.
9
Cai, Zongwu
9
Dufour, Jean-Marie
9
Ghysels, Eric
9
Phillips, Peter C. B.
9
Sun, Yixiao
9
Teräsvirta, Timo
9
Chen, Yi-ting
8
Liu, Zhi
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
Mykland, Per A.
7
Sentana, Enrique
7
Canay, Ivan A.
6
Doğan, Osman
6
Fan, Jianqing
6
Hsu, Yu-Chin
6
Jin, Sainan
6
Kao, Chihwa
6
Khalaf, Lynda
6
Koopman, Siem Jan
6
Kristensen, Dennis
6
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Journal of econometrics
10
Economic modelling
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
IIMB management review
2
International review of economics & finance : IREF
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
International review of financial analysis
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of quantitative economics
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Macroeconomics and finance in emerging market economies
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ECONIS (ZBW)
32
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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
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:
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
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
5
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
6
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
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
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:
9
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
10
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
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