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subject:"Share price"
subject:"United Kingdom"
~person:"Ericsson, Neil R."
~person:"Faff, Robert W."
~person:"Todorov, Viktor"
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Search: subject_exact:"Estimation theory"
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Share price
United Kingdom
Estimation theory
51
Schätztheorie
51
Volatility
21
Volatilität
21
Estimation
20
Schätzung
20
Time series analysis
19
Zeitreihenanalyse
19
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Großbritannien
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High-frequency data
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4
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3
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English
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Ericsson, Neil R.
Faff, Robert W.
Todorov, Viktor
Kapetanios, George
17
Pesaran, M. Hashem
17
Bekaert, Geert
10
Linton, Oliver
10
Tauchen, George Eugene
10
Maheswaran, S.
9
Allen, David E.
8
Bailey, Natalia
8
Burkhauser, Richard V.
8
Hautsch, Nikolaus
8
Jenkins, Stephen
8
Li, Jia
8
Hildenbrand, Werner
7
Koop, Gary
7
Malec, Peter
7
Mills, Terence C.
7
Patterson, Kerry D.
7
Runde, Ralf
7
Teräsvirta, Timo
7
Bauwens, Luc
6
Blundell, Richard W.
6
Gao, Jiti
6
Härdle, Wolfgang
6
Jordà, Òscar
6
Kim, Donggyu
6
Knüppel, Malte
6
Krämer, Walter
6
Wilkins, Roger
6
Zakoïan, Jean-Michel
6
Bibinger, Markus
5
Biewen, Martin
5
Brandt, Michael W.
5
Caporale, Guglielmo Maria
5
Engle, Robert F.
5
Garratt, Anthony
5
Hodrick, Robert J.
5
Hérault, Nicolas
5
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Journal of econometrics
6
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2
Advances in investment analysis and portfolio management : a research annual
1
Australian journal of management
1
ERID working paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
International finance discussion papers
1
Journal of banking & finance
1
Journal of international financial markets, institutions & money
1
Journal of policy modeling : JPMOD ; a social science forum of world issues
1
Pacific-Basin finance journal
1
Special issue on "money demand in Europe"
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
21
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1
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:
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
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:
4
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:
5
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
6
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
7
Volatility Activity : Specification and Estimation
Todorov, Viktor
-
2011
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods to...
Persistent link: https://www.econbiz.de/10013119659
Saved in:
8
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:
9
Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Ericsson, Neil R.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 377-398
Persistent link: https://www.econbiz.de/10011649116
Saved in:
10
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
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