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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Jia"
~person:"Liu, Zhi"
~subject:"Kapitaleinkommen"
~subject:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
Kapitaleinkommen
Schätzung
Estimation theory
20
Schätztheorie
20
Volatilität
18
Estimation
14
Time series analysis
13
Zeitreihenanalyse
13
Börsenkurs
9
Share price
9
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Capital income
6
High-frequency data
6
Market microstructure
6
Marktmikrostruktur
6
Martingal
6
Martingale
6
Noise Trading
5
Noise trading
5
Stochastic process
5
Stochastischer Prozess
5
Beta risk
3
Betafaktor
3
Central limit theorem
3
High frequency data
3
Microstructure noise
3
Regression analysis
3
Regressionsanalyse
3
Semimartingale
3
Specification test
3
Stochastic volatility
3
semimartingale
3
Adaptive estimation
2
Beta
2
Bootstrap
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Induktive Statistik
2
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Undetermined
14
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Article
18
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Article in journal
Aufsatz in Zeitschrift
18
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Working Paper
2
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English
18
Author
All
Li, Jia
Liu, Zhi
Kumar, Dilip
16
Maheswaran, S.
16
Kumbhakar, Subal
15
Linton, Oliver
13
Tauchen, George Eugene
13
Gao, Jiti
12
Su, Liangjun
12
Todorov, Viktor
12
Demetrescu, Matei
9
Francq, Christian
9
Andersen, Torben
8
Baltagi, Badi H.
8
Ghysels, Eric
8
Hsiao, Cheng
8
Hsu, Yu-Chin
8
Kapetanios, George
8
Koop, Gary
8
Lee, Lung-fei
8
Li, Qi
8
Li, Yingying
8
Phillips, Peter C. B.
8
Ramírez, Miguel D.
8
Teräsvirta, Timo
8
Bollerslev, Tim
7
Cai, Zongwu
7
Gouriéroux, Christian
7
Hafner, Christian M.
7
Jochmans, Koen
7
Kim, Donggyu
7
Koopman, Siem Jan
7
Mykland, Per A.
7
Park, Joon Y.
7
Pesaran, M. Hashem
7
Taylor, Robert
7
Tsionas, Efthymios G.
7
Zakoïan, Jean-Michel
7
Cheung, Yin-Wong
6
Diebold, Francis X.
6
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Journal of econometrics
7
Econometric theory
3
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
Finance and stochastics
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)
18
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18
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1
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:
2
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:
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
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:
5
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:
6
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:
7
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:
8
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
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
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:
1
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