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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Jia"
~subject:"ARCH-Modell"
~subject:"Sampling"
~subject:"Stochastischer Prozess"
~type_genre:"Bibliografie enthalten"
~type_genre:"Rezension"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Sampling
Stochastischer Prozess
Estimation theory
13
Schätztheorie
13
Volatilität
11
Estimation
9
Schätzung
9
Time series analysis
9
Zeitreihenanalyse
9
Börsenkurs
8
Share price
8
High-frequency data
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Stochastic process
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
Ankündigungseffekt
1
Announcement effect
1
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Undetermined
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Article
11
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Article in journal
Bibliografie enthalten
Rezension
Aufsatz in Zeitschrift
11
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Working Paper
2
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English
11
Author
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Li, Jia
Francq, Christian
19
Kumar, Dilip
17
Maheswaran, S.
15
Zakoïan, Jean-Michel
15
Tauchen, George Eugene
12
Todorov, Viktor
12
Mykland, Per A.
11
Ghysels, Eric
9
Hafner, Christian M.
9
Linton, Oliver
9
McAleer, Michael
9
Ling, Shiqing
8
Rahbek, Anders
8
Teräsvirta, Timo
8
Andersen, Torben
7
Aït-Sahalia, Yacine
7
Kim, Donggyu
7
Li, Dong
7
Li, Yingying
7
Liu, Zhi
7
Phillips, Peter C. B.
7
Zhu, Ke
7
Ardia, David
6
Bollerslev, Tim
6
Escanciano, Juan Carlos
6
Fan, Jianqing
6
Koopman, Siem Jan
6
Li, Guodong
6
Li, Wai Keung
6
Shin, Dong-wan
6
Tsionas, Efthymios G.
6
Wang, Yazhen
6
Wywiał, Janusz
6
Asai, Manabu
5
Bauwens, Luc
5
Chan, Ngai Hang
5
Elliott, Robert J.
5
Horváth, Lajos
5
Hurn, Stan
5
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Journal of econometrics
6
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)
11
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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
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:
6
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:
7
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:
8
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:
9
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:
10
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
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