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subject:"Volatility"
type_genre:"Article in journal"
~person:"Todorov, Viktor"
~person:"Zakoïan, Jean-Michel"
~subject:"Börsenkurs"
~subject:"Statistical test"
~subject:"Theorie"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Statistical test
Theorie
Estimation theory
37
Schätztheorie
37
Volatilität
17
Estimation
16
Schätzung
16
ARCH model
15
ARCH-Modell
15
Time series analysis
14
Zeitreihenanalyse
14
Stochastic process
12
Stochastischer Prozess
12
Share price
11
Theory
9
Capital income
6
Kapitaleinkommen
6
High-frequency data
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Stochastic volatility
5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Bootstrap approach
3
Bootstrap-Verfahren
3
Forecasting model
3
Induktive Statistik
3
Martingal
3
Martingale
3
Measurement
3
Messung
3
Option pricing theory
3
Options
3
Optionspreistheorie
3
Prognoseverfahren
3
Regression analysis
3
Regressionsanalyse
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Article in journal
Aufsatz in Zeitschrift
27
Systematic review
1
Übersichtsarbeit
1
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English
25
French
2
Author
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Todorov, Viktor
Zakoïan, Jean-Michel
Phillips, Peter C. B.
39
Andrews, Donald W. K.
37
Baltagi, Badi H.
29
Li, Qi
28
Newey, Whitney K.
28
Pesaran, M. Hashem
25
Bera, Anil K.
24
McAleer, Michael
23
Krämer, Walter
22
Horowitz, Joel
21
Ohtani, Kazuhiro
21
Perron, Pierre
20
Robinson, Peter M.
20
Dufour, Jean-Marie
19
Giles, David E. A.
19
Lee, Lung-fei
19
Ullah, Aman
19
Gouriéroux, Christian
18
King, Maxwell L.
18
Linton, Oliver
18
Wooldridge, Jeffrey M.
18
Ghysels, Eric
17
Tauchen, George Eugene
17
White, Halbert
17
Granger, C. W. J.
16
Kumar, Dilip
16
Srivastava, Virendra K.
16
Hahn, Jinyong
15
Maheswaran, S.
15
Schmidt, Peter
15
Kuan, Chung-ming
14
Leybourne, Stephen James
14
Smith, Richard J.
14
Teräsvirta, Timo
14
Bai, Jushan
13
Francq, Christian
13
Godfrey, L. G.
13
Hausman, Jerry A.
13
Hsiao, Cheng
13
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Journal of econometrics
15
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Annales d'économie et de statistique
1
Economics letters
1
Journal de la Société de Statistique de Paris
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
27
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
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
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:
10
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:
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