//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Wai Keung"
~person:"Todorov, Viktor"
~subject:"ARCH-Modell"
~subject:"Option pricing theory"
~type_genre:"Bibliografie enthalten"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Estimation theory"
Narrow search
Delete all filters
| 7 applied filters
Year of publication
From:
To:
Subject
All
Volatility
ARCH-Modell
Option pricing theory
Estimation theory
22
Schätztheorie
22
Volatilität
16
Time series analysis
13
Zeitreihenanalyse
13
Estimation
12
Schätzung
12
Stochastic process
9
Stochastischer Prozess
9
Börsenkurs
8
Share price
8
ARCH model
5
Capital income
5
High-frequency data
5
Kapitaleinkommen
5
Stochastic volatility
5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Martingal
3
Martingale
3
Options
3
Optionspreistheorie
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Induktive Statistik
2
Jumps
2
Laplace transform
2
Option trading
2
Optionsgeschäft
2
Regression analysis
2
Regressionsanalyse
2
Semimartingale
2
Semiparametric efficiency
2
more ...
less ...
Online availability
All
Undetermined
13
Free
1
Type of publication
All
Article
18
Type of publication (narrower categories)
All
Article in journal
Bibliografie enthalten
Aufsatz in Zeitschrift
18
Arbeitspapier
4
Graue Literatur
4
Non-commercial literature
4
Working Paper
4
Language
All
English
18
Author
All
Li, Wai Keung
Todorov, Viktor
Francq, Christian
19
Kumar, Dilip
16
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Li, Jia
12
Tauchen, George Eugene
11
Hafner, Christian M.
9
Linton, Oliver
8
Liu, Zhi
8
Rahbek, Anders
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
McAleer, Michael
7
Mykland, Per A.
7
Ardia, David
6
Bollerslev, Tim
6
Fan, Jianqing
6
Härdle, Wolfgang
6
Koopman, Siem Jan
6
Ling, Shiqing
6
Wang, Yazhen
6
Aït-Sahalia, Yacine
5
Bauwens, Luc
5
Elliott, Robert J.
5
Ghysels, Eric
5
Horváth, Lajos
5
Jing, Bingyi
5
Kristensen, Dennis
5
Li, Guodong
5
Paolella, Marc S.
5
Shephard, Neil G.
5
Shin, Dong-wan
5
Sucarrat, Genaro
5
Taylor, Stephen
5
Wu, Xinyu
5
Zhu, Ke
5
more ...
less ...
Published in...
All
Journal of econometrics
12
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
1
Economies : open access journal
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
The journal of risk model validation
1
Source
All
ECONIS (ZBW)
18
Showing
1
-
10
of
18
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
2
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:
3
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
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
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
6
An experiment on autoregressive and threshold autoregressive models with non-gaussian error with application to realized volatility
Zhang, Ziyi
;
Li, Wai Keung
- In:
Economies : open access journal
7
(
2019
)
2/58
,
pp. 1-11
This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma random error is proposed to cater for the non-negativity of...
Persistent link: https://www.econbiz.de/10012021585
Saved in:
7
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
8
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->