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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Jia"
~person:"Zakoïan, Jean-Michel"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Measurement
Statistical test
Estimation theory
40
Schätztheorie
40
Volatilität
17
Time series analysis
16
Zeitreihenanalyse
16
Estimation
15
Schätzung
15
ARCH model
14
ARCH-Modell
14
Share price
12
Stochastic process
9
Stochastischer Prozess
9
Theorie
9
Theory
9
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Capital income
5
High-frequency data
5
Kapitaleinkommen
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Bootstrap approach
4
Bootstrap-Verfahren
4
Regression analysis
4
Regressionsanalyse
4
Martingal
3
Martingale
3
Messung
3
Specification test
3
Statistischer Test
3
Stochastic volatility
3
Adaptive estimation
2
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2
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2
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Undetermined
14
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Article in journal
Aufsatz in Zeitschrift
22
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English
22
Author
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Li, Jia
Zakoïan, Jean-Michel
Kumar, Dilip
16
Maheswaran, S.
15
Francq, Christian
12
Todorov, Viktor
12
Bera, Anil K.
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
Li, Yingying
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
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Econometric theory
2
Annals of economics and statistics
1
Journal of applied econometrics
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
1
The review of economics and statistics
1
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ECONIS (ZBW)
22
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22
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1
Reading the candlesticks : an OK estimator for volatility
Li, Jia
;
Wang, Dishen
;
Zhang, Qiushi
- In:
The review of economics and statistics
106
(
2024
)
4
,
pp. 1114-1128
Persistent link: https://www.econbiz.de/10015046594
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
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:
4
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:
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
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
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
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:
9
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:
10
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
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