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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:"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
20
Time series analysis
15
Zeitreihenanalyse
15
Theorie
13
Theory
13
Estimation
11
Estimation theory
11
Schätztheorie
11
Schätzung
11
Stochastic process
9
Stochastischer Prozess
9
Börsenkurs
8
Share price
8
Stochastic volatility
6
Capital income
5
Factor analysis
5
Faktorenanalyse
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Kapitaleinkommen
5
Nichtparametrisches Verfahren
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Nonparametric statistics
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Prognoseverfahren
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Financial market
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Finanzmarkt
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Martingal
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Martingale
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Method of moments
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Momentenmethode
3
Option pricing theory
3
Optionspreistheorie
3
Semimartingale
3
Semiparametric efficiency
3
Specification test
3
Statistical test
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Bibliografie
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20
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Hallin, Marc
Tauchen, George Eugene
Bollerslev, Tim
19
Todorov, Viktor
17
Andersen, Torben
11
Aït-Sahalia, Yacine
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
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
Econometric theory
1
Econometrics : open access journal
1
Journal of financial econometrics
1
Journal of financial economics
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
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ECONIS (ZBW)
20
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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
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:
3
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:
4
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:
5
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:
6
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Saved in:
7
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:
8
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
9
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
10
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
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