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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Regional studies"
~language:"eng"
~language:"nld"
~language:"pol"
~person:"Aït-Sahalia, Yacine"
~person:"Cavaliere, Giuseppe"
~subject:"Einheitswurzeltest"
~subject:"Großbritannien"
~subject:"Volatility"
~type_genre:"Amtliche Publikation"
~type_genre:"Article in journal"
~type_genre:"Government document"
~type_genre:"Graue Literatur"
~type_genre:"No longer published / No longer aquired"
~type_genre:"Textbook"
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Einheitswurzeltest
Großbritannien
Volatility
Volatilität
17
Theorie
15
Theory
15
Estimation theory
11
Schätztheorie
11
Time series analysis
9
Zeitreihenanalyse
9
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7
Bootstrap-Verfahren
7
Estimation
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4
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Option pricing theory
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Optionspreistheorie
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4
Bootstrap
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Capital income
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Jumps
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Kapitaleinkommen
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Statistical test
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Statistischer Test
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Cointegration
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Factor analysis
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Faktorenanalyse
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Fractional integration
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Kointegration
2
Market microstructure noise
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
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Nichtparametrisches Verfahren
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2
Noise trading
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Amtliche Publikation
Article in journal
Government document
Graue Literatur
No longer published / No longer aquired
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19
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Polish
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Aït-Sahalia, Yacine
Cavaliere, Giuseppe
Bollerslev, Tim
19
Taylor, Robert
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Phillips, Peter C. B.
13
Andersen, Torben
11
McAleer, Michael
9
Park, Joon Y.
9
Green, Anne E.
8
Meddahi, Nour
8
Xiu, Dacheng
8
Harris, Richard I. D.
7
Li, Jia
7
Linton, Oliver
7
Martin, Ron
7
Mykland, Per A.
7
Patton, Andrew J.
7
Benth, Fred Espen
6
Chang, Yoosoon
6
Ghysels, Eric
6
Hallin, Marc
6
Kim, Donggyu
6
Leybourne, Stephen James
6
Mason, Colin M.
6
Shephard, Neil G.
6
Shin, Dong-wan
6
Westerlund, Joakim
6
Asai, Manabu
5
Barigozzi, Matteo
5
Beatty, Christina
5
Brigo, Damiano
5
Fothergill, Stephen
5
Francq, Christian
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Harvey, David I.
5
Henley, Andrew
5
Li, Yingying
5
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International journal of theoretical and applied finance
Journal of econometrics
Regional studies
Working paper / National Bureau of Economic Research, Inc.
8
Econometric theory
7
Econometric reviews
6
Discussion papers / Department of Economics, University of Copenhagen
3
Journal of financial economics
3
Discussion paper / Tinbergen Institute
2
Journal of the American Statistical Association : JASA
2
The econometrics journal
2
CEA_372Cass working paper series
1
CREATES research paper
1
Cowles Foundation discussion paper
1
Finance and economics discussion series
1
IMF working paper
1
Journal of economic literature
1
Journal of international economics
1
NBER working paper series
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
Research paper series / Swiss Finance Institute
1
Statistical methods & applications : SMA ; journal of the Italian Statistical Society
1
Swiss Finance Institute Research Paper
1
The economic journal : the journal of the Royal Economic Society
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ECONIS (ZBW)
19
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1
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
2
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
Saved in:
3
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
4
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
5
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
6
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
7
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
8
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
9
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
10
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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