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~isPartOf:"Journal of consumer research : JCR ; an interdisciplinary bimonthly"
~isPartOf:"Journal of econometrics"
~language:"bul"
~language:"eng"
~language:"hun"
~language:"msa"
~language:"spa"
~person:"Aït-Sahalia, Yacine"
~person:"Hallin, Marc"
~person:"Tauchen, George Eugene"
~subject:"High-frequency data"
~subject:"Konsumentenverhalten"
~subject:"Spot variance"
~subject:"Volatility"
~type_genre:"Amtsdruckschrift"
~type_genre:"Article in journal"
~type_genre:"Bibliografie"
~type_genre:"Bibliographie enthalten"
~type_genre:"Conference paper"
~type_genre:"Konferenzbeitrag"
~type_genre:"Ratgeber"
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High-frequency data
Konsumentenverhalten
Spot variance
Volatility
Volatilität
31
Theorie
24
Theory
24
Estimation theory
20
Schätztheorie
20
Time series analysis
19
Zeitreihenanalyse
19
Estimation
16
Schätzung
16
Stochastic process
12
Stochastischer Prozess
12
Börsenkurs
10
Share price
10
Capital income
8
Kapitaleinkommen
8
Stochastic volatility
8
CAPM
7
Factor analysis
7
Faktorenanalyse
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
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Option pricing theory
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Optionspreistheorie
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ARCH model
5
ARCH-Modell
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Forecasting model
5
Prognoseverfahren
5
Statistical test
5
Statistischer Test
5
Dynamische Wirtschaftstheorie
4
Economic dynamics
4
Financial market
4
Finanzmarkt
4
Jumps
4
Market microstructure
4
Marktmikrostruktur
4
Regression analysis
4
Regressionsanalyse
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31
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Amtsdruckschrift
Article in journal
Bibliografie
Bibliographie enthalten
Conference paper
Konferenzbeitrag
Ratgeber
Aufsatz in Zeitschrift
31
Language
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Bulgarian
English
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Author
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Aït-Sahalia, Yacine
Hallin, Marc
Tauchen, George Eugene
Bollerslev, Tim
19
Todorov, Viktor
17
Andersen, Torben
11
Janiszewski, Chris A.
11
McAleer, Michael
9
Xiu, Dacheng
9
Krishna, Aradhna
8
Laran, Juliano
8
Meddahi, Nour
8
Mykland, Per A.
8
Wyer, Robert S.
8
Bagchi, Rajesh
7
Li, Jia
7
Patton, Andrew J.
7
Rucker, Derek D.
7
Shiv, Baba
7
Argo, Jennifer J.
6
Bearden, William O.
6
Berger, Jonah
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Lichtenstein, Donald R.
6
McGill, Ann L.
6
Meyers-Levy, Joan
6
Morales, Andrea C.
6
Shephard, Neil G.
6
Vohs, Kathleen D.
6
Wilcox, Keith
6
Asai, Manabu
5
Belk, Russell W.
5
Fishbach, Ayelet
5
Folkes, Valerie S.
5
Gal, David
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Grewal, Dhruv
5
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Journal of consumer research : JCR ; an interdisciplinary bimonthly
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial economics
4
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
Journal of the American Statistical Association : JASA
2
Econometric theory
1
Econometrics : open access journal
1
Journal of economic literature
1
Journal of financial econometrics
1
Nonparametric dynamic modelling
1
Quantitative economics : QE ; journal of the Econometric Society
1
Review of finance : journal of the European Finance Association
1
The econometrics journal
1
The quarterly journal of finance
1
The review of economic studies
1
The review of economics and statistics
1
The review of financial studies
1
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ECONIS (ZBW)
31
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1
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:
2
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:
3
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
4
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
10
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
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