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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Jia"
~subject:"ARCH-Modell"
~subject:"Panel study"
~subject:"Sampling"
~subject:"Time series analysis"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Panel study
Sampling
Time series analysis
Estimation theory
13
Schätztheorie
13
Volatilität
11
Estimation
9
Schätzung
9
Zeitreihenanalyse
9
Börsenkurs
8
Share price
8
High-frequency data
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Stochastic process
5
Stochastischer Prozess
5
Capital income
4
Kapitaleinkommen
4
Martingal
3
Martingale
3
Regression analysis
3
Regressionsanalyse
3
Specification test
3
Stochastic volatility
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bootstrap
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Jumps
2
Market microstructure
2
Marktmikrostruktur
2
Noise Trading
2
Noise trading
2
Semimartingale
2
Semiparametric efficiency
2
semimartingale
2
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Article in journal
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12
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3
Graue Literatur
3
Non-commercial literature
3
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English
12
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Li, Jia
Baltagi, Badi H.
40
Phillips, Peter C. B.
38
Linton, Oliver
25
Gao, Jiti
24
Su, Liangjun
24
Westerlund, Joakim
22
Francq, Christian
20
Leybourne, Stephen James
19
Zakoïan, Jean-Michel
18
Kumar, Dilip
17
Lee, Lung-fei
17
Harvey, Andrew C.
16
Pesaran, M. Hashem
16
Robinson, Peter M.
16
Taylor, Robert
16
Teräsvirta, Timo
16
Bai, Jushan
15
Hsiao, Cheng
15
Lütkepohl, Helmut
15
Maheswaran, S.
15
Johansen, Søren
14
Chambers, Marcus J.
13
Ghysels, Eric
13
Hassler, Uwe
13
Li, Qi
13
Perron, Pierre
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
Li, Degui
12
McAleer, Michael
12
Mykland, Per A.
12
Todorov, Viktor
12
Yu, Jihai
12
Zhu, Ke
12
Bauwens, Luc
11
Hafner, Christian M.
11
Hayakawa, Kazuhiko
11
Kapetanios, George
11
Koopman, Siem Jan
11
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Journal of econometrics
7
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
1
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
Uniform nonparametric inference for time series
Li, Jia
;
Liao, Zhipeng
- In:
Journal of econometrics
219
(
2020
)
1
,
pp. 38-51
Persistent link: https://www.econbiz.de/10012483186
Saved in:
6
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:
7
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:
8
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:
9
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
10
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
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