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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:"Tauchen, George Eugene"
~person:"Xiu, Dacheng"
~subject:"Bayes-Statistik"
~subject:"Beta risk"
~subject:"CAPM"
~subject:"Konsumentenverhalten"
~subject:"Schätztheorie"
~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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Bayes-Statistik
Beta risk
CAPM
Konsumentenverhalten
Schätztheorie
Volatility
Volatilität
23
Estimation
13
Schätzung
13
Estimation theory
12
Börsenkurs
11
Capital income
11
Kapitaleinkommen
11
Share price
11
Stochastic process
11
Stochastischer Prozess
11
Theorie
10
Theory
10
High-frequency data
8
Time series analysis
8
Zeitreihenanalyse
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Option pricing theory
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Optionspreistheorie
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Stochastic volatility
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Forecasting model
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Prognoseverfahren
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ARCH model
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ARCH-Modell
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Portfolio selection
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Factor analysis
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Factor model
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Faktorenanalyse
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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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Amtsdruckschrift
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Bibliografie
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Konferenzbeitrag
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Aufsatz in Zeitschrift
27
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Bulgarian
English
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Author
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Tauchen, George Eugene
Xiu, Dacheng
Phillips, Peter C. B.
33
Linton, Oliver
24
Bollerslev, Tim
21
Lee, Lung-fei
21
Chen, Songnian
19
Aït-Sahalia, Yacine
18
Robinson, Peter M.
18
Su, Liangjun
18
Li, Qi
17
Todorov, Viktor
17
Taylor, Robert
16
Gao, Jiti
14
Gouriéroux, Christian
14
Cai, Zongwu
13
Chen, Xiaohong
13
Chib, Siddhartha
13
Yu, Jun
13
Andersen, Torben
12
Fan, Yanqin
12
Ghysels, Eric
12
Koop, Gary
12
Park, Joon Y.
12
Renault, Eric
12
Andrews, Donald W. K.
11
Gallant, A. Ronald
11
Hsiao, Cheng
11
Janiszewski, Chris A.
11
McAleer, Michael
11
Mykland, Per A.
11
Shephard, Neil G.
11
Sun, Yixiao
11
White, Halbert
11
Baltagi, Badi H.
10
Florens, Jean-Pierre
10
Francq, Christian
10
Hong, Han
10
Newey, Whitney K.
10
Swanson, Norman R.
10
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Journal of consumer research : JCR ; an interdisciplinary bimonthly
Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Econometric theory
2
Economics letters
2
The review of economics and statistics
2
Annual review of financial economics
1
Computation and estimation in finance and economics
1
Econometrics : open access journal
1
Journal of economic dynamics & control
1
Journal of financial economics
1
Journal of political economy
1
Macroeconomic dynamics
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 quarterly journal of finance
1
The review of economic studies
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ECONIS (ZBW)
27
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1
New directions in nonlinear structural estimation : Bayes and Frequentist: editorial
Tauchen, George Eugene
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 1-3
Persistent link: https://www.econbiz.de/10013441706
Saved in:
2
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:
3
Autoencoder asset pricing models
Gu, Shihao
;
Kelly, Bryan T.
;
Xiu, Dacheng
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
Saved in:
4
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:
5
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:
6
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
7
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:
8
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
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
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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