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subject:"Volatility"
type_genre:"Article in journal"
~person:"Li, Yingying"
~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
34
Schätztheorie
34
ARCH model
15
ARCH-Modell
15
Time series analysis
13
Zeitreihenanalyse
13
Volatilität
12
Theorie
9
Theory
9
Estimation
8
Schätzung
8
Market microstructure
7
Marktmikrostruktur
7
Share price
7
Noise Trading
6
Noise trading
6
Market microstructure noise
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Capital income
4
Kapitaleinkommen
4
Portfolio selection
4
Portfolio-Management
4
Stochastic process
4
Stochastischer Prozess
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
Forecasting model
3
High frequency data
3
Integrated volatility
3
Minimum variance portfolio
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
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3
Varianzanalyse
3
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Article in journal
Aufsatz in Zeitschrift
17
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English
17
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Li, Yingying
Zakoïan, Jean-Michel
Kumar, Dilip
16
Maheswaran, S.
15
Francq, Christian
12
Li, Jia
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
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
10
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 financial econometrics : official journal of the Society for Financial Econometrics
2
Annals of economics and statistics
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
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ECONIS (ZBW)
17
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1
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:
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
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
4
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:
5
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
6
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:
7
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
8
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
9
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
10
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
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