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Zeitreihenanalyse
Volatility
375
high-frequency data
373
Volatilität
368
High-frequency data
338
Börsenkurs
244
Schätzung
240
Share price
233
Estimation
228
Time series analysis
214
Theorie
208
Theory
197
Capital income
166
Kapitaleinkommen
166
Central limit theorem
148
Prognoseverfahren
126
Forecasting model
124
Market microstructure
111
Marktmikrostruktur
107
Schätztheorie
93
Estimation theory
92
central limit theorem
90
ARCH-Modell
75
ARCH model
74
Aktienmarkt
71
High-Frequency Data
69
Stock market
68
Stochastischer Prozess
64
Finanzmarkt
63
Noise Trading
63
Stochastic process
63
Noise trading
60
Financial market
59
Market microstructure noise
54
Ankündigungseffekt
53
Nichtparametrisches Verfahren
51
Correlation
50
Korrelation
49
Nonparametric statistics
48
Announcement effect
46
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Undetermined
126
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72
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Article
166
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56
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Article in journal
165
Aufsatz in Zeitschrift
165
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53
Arbeitspapier
45
Graue Literatur
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Aufsatz im Buch
1
Aufsatzsammlung
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1
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English
222
Author
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Tauchen, George Eugene
10
Bollerslev, Tim
9
Li, Jia
9
Todorov, Viktor
9
Hounyo, Ulrich
8
Li, Yingying
6
Liu, Zhi
6
Andersen, Torben
5
Meddahi, Nour
5
Podolskij, Mark
5
Xu, Yongdeng
5
Glocker, Christian
4
Gonçalves, Sílvia
4
Hautsch, Nikolaus
4
Lai, Yu-Sheng
4
Martens, Martin
4
Patton, Andrew J.
4
Quaedvlieg, Rogier
4
Stübinger, Johannes
4
Tse, Yiu Kuen
4
Wegmüller, Philipp
4
Xiu, Dacheng
4
Yang, Xiye
4
Zheng, Xinghua
4
Bauwens, Luc
3
Chen, Yi-Ting
3
Dijk, Dick van
3
Dong, Yingjie
3
Guggia, Valentino
3
Halbleib, Roxana
3
Hansen, Peter Reinhard
3
Jacod, Jean
3
Jing, Bingyi
3
Koopman, Siem Jan
3
Laurent, Sébastien
3
Liu, Guangying
3
Ma, Feng
3
Sibbertsen, Philipp
3
Sun, Edward W.
3
Vander Elst, Harry
3
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Gottfried Wilhelm Leibniz Universität Hannover
1
Schweiz / Staatssekretariat für Wirtschaft
1
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Journal of econometrics
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Finance research letters
6
International journal of forecasting
6
Journal of financial econometrics
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Quantitative finance
5
Discussion paper / Tinbergen Institute
4
Econometrics : open access journal
4
International review of economics & finance : IREF
4
Journal of banking & finance
4
Journal of empirical finance
4
SFB 649 Discussion Paper
4
The North American journal of economics and finance : a journal of financial economics studies
4
Applied economics
3
Cardiff economics working papers
3
Econometric reviews
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Economic modelling
3
Energy economics
3
Journal of forecasting
3
Journal of risk and financial management : JRFM
3
Research in international business and finance
3
SFB 649 discussion paper
3
CESifo working papers
2
ERID working paper
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
Economics letters
2
Finance and stochastics
2
Finmap working paper
2
Journal of financial economics
2
Journal of international financial markets, institutions & money
2
Journal of risk
2
Journal of risk : JOR
2
Quantitative economics : QE ; journal of the Econometric Society
2
Risks : open access journal
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Working paper / Department of Econometrics and Business Statistics, Monash University
2
African journal of business and economic research : AJBER
1
Annals of economics and statistics
1
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Source
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ECONIS (ZBW)
214
EconStor
8
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1
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
;
Shin, Dong-wan
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
Saved in:
2
Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
3
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
5
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
6
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
7
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
8
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
9
On estimation of hurst parameter under noisy observations
Liu, Guangying
;
Jing, Bingyi
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
Saved in:
10
Forecasting in telecommunications and ICT : a review
Meade, Nigel
;
Islam, Towhidul
- In:
International journal of forecasting
31
(
2015
)
4
,
pp. 1105-1126
Persistent link: https://www.econbiz.de/10011474916
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