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Search: subject:"Quasi-maximum likelihood estimator"
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Quasi-maximum likelihood estimator
13
Estimation theory
12
Schätztheorie
12
Börsenkurs
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Share price
5
Volatility
5
Volatilität
5
Estimation
4
Schätzung
4
Time series analysis
4
Zeitreihenanalyse
4
ARCH model
3
ARCH-Modell
3
Integrated volatility
3
Market microstructure
3
Market microstructure noise
3
Marktmikrostruktur
3
Noise Trading
3
Noise trading
3
Autocorrelation
2
Autokorrelation
2
GARCH
2
High frequency data
2
Least squares estimator
2
Mixed regressive
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Realized volatility
2
Social network
2
Soziales Netzwerk
2
Stochastic process
2
Stochastischer Prozess
2
Adjusted quasi-maximum likelihood estimator
1
Analysis
1
Analysis of variance
1
Arbitrage
1
Arbitrage Pricing
1
Arbitrage pricing
1
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Article
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English
12
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7
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Potiron, Yoann
3
Bai, Peng
2
Clinet, Simon
2
Huang, Danyang
2
Kim, Donggyu
2
Wang, Hansheng
2
Yu, Dalei
2
Zhu, Xuening
2
Bai, Z.
1
Bardet, Jean-Marc
1
Choi, In
1
Ding, Chang
1
Ding, Hao
1
Fan, Jianqing
1
Hu, Jianhua
1
Jung, Sanghyun
1
Kengne, William
1
Krishnaiah, P.
1
Kuersteiner, Guido M.
1
Li, Dong
1
Li, Mengyuan
1
Ling, Shiqing
1
Liu, Xiaoqian
1
Medeiros, Marcelo C.
1
Murteira, José M.R.
1
Mykland, Per A.
1
Pan, Rui
1
Preve, Daniel
1
Prucha, Ingmar R.
1
Ramalho, Joaquim J.S.
1
SIN, CHOR-YIU
1
Taniguchi, M.
1
Wang, Feifei
1
Wang, Yazhen
1
Zeng, Ying
1
Zhang, Jin
1
Zhang, Xingfa
1
Zhao, L.
1
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Journal of econometrics
8
Annals of Financial Economics (AFE)
1
Annals of the Institute of Statistical Mathematics
1
Computational Statistics
1
Computational Statistics & Data Analysis
1
Econometric reviews
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Journal of Econometrics
1
Journal of Multivariate Analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
1
Statistics & Probability Letters
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ECONIS (ZBW)
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RePEc
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1
Efficient peer effects estimators with group effects
Kuersteiner, Guido M.
;
Prucha, Ingmar R.
;
Zeng, Ying
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2155-2194
Persistent link: https://www.econbiz.de/10014471449
Saved in:
2
Cross-sectional quasi-maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels
Choi, In
;
Jung, Sanghyun
- In:
Empirical economics : a quarterly journal of the …
60
(
2021
)
1
,
pp. 177-203
Persistent link: https://www.econbiz.de/10012488908
Saved in:
3
Arbitrage pricing with heterogeneous spatial effects and heteroscedastic disturbances
Hu, Jianhua
;
Ding, Hao
;
Liu, Xiaoqian
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1169-1195
Persistent link: https://www.econbiz.de/10014391448
Saved in:
4
Two-mode network autoregressive model for large-scale networks
Huang, Danyang
;
Wang, Feifei
;
Zhu, Xuening
;
Wang, Hansheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 203-219
Persistent link: https://www.econbiz.de/10012439675
Saved in:
5
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
6
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
7
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
8
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
9
The ZD-GARCH model : a new way to study heteroscedasticity
Li, Dong
;
Zhang, Xingfa
;
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011974547
Saved in:
10
Multivariate spatial autoregressive model for large scale social networks
Zhu, Xuening
;
Huang, Danyang
;
Pan, Rui
;
Wang, Hansheng
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 591-606
Persistent link: https://www.econbiz.de/10012439571
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