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subject:"Share price"
subject:"United Kingdom"
~person:"Faff, Robert W."
~person:"Li, Jia"
~subject:"Theorie"
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Search: subject_exact:"Estimation theory"
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Share price
United Kingdom
Theorie
Estimation theory
32
Schätztheorie
32
Volatility
19
Volatilität
19
Börsenkurs
15
Estimation
13
Schätzung
13
Time series analysis
12
Zeitreihenanalyse
12
Capital income
8
Kapitaleinkommen
8
Australia
7
Australien
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
High-frequency data
5
Regression analysis
5
Regressionsanalyse
5
Stochastic process
5
Stochastischer Prozess
5
CAPM
4
Induktive Statistik
4
Martingal
4
Martingale
4
Statistical inference
4
Statistical test
4
Statistischer Test
4
Market microstructure
3
Marktmikrostruktur
3
Specification test
3
Stochastic volatility
3
Theory
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bootstrap
2
Bootstrap approach
2
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7
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14
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2
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14
Aufsatz in Zeitschrift
14
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
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English
16
Author
All
Faff, Robert W.
Li, Jia
Härdle, Wolfgang
73
Pesaran, M. Hashem
63
Phillips, Peter C. B.
53
Gouriéroux, Christian
50
Andrews, Donald W. K.
44
Franses, Philip Hans
43
Newey, Whitney K.
42
McAleer, Michael
39
Giles, David E. A.
35
Imbens, Guido
35
Swanson, Norman R.
35
Heckman, James J.
30
Horowitz, Joel
30
Robinson, Peter M.
30
Baltagi, Badi H.
28
Diebold, Francis X.
28
Linton, Oliver
28
Krämer, Walter
27
Brännäs, Kurt
26
King, Maxwell L.
26
Li, Qi
26
Ohtani, Kazuhiro
26
Granger, C. W. J.
25
Kohn, Robert
25
Zakoïan, Jean-Michel
25
Bera, Anil K.
24
Dufour, Jean-Marie
24
Maravall Herrero, Agustín
24
Stahlecker, Peter
24
Winkelmann, Rainer
24
Teräsvirta, Timo
23
Ullah, Aman
23
Kapetanios, George
22
Kleibergen, Frank
22
Robert, Christian P.
22
Srivastava, Virendra K.
22
Wooldridge, Jeffrey M.
22
Angrist, Joshua D.
21
Hahn, Jinyong
21
Hsiao, Cheng
21
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Journal of econometrics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Pacific-Basin finance journal
2
Working paper
2
Advances in investment analysis and portfolio management : a research annual
1
Australian journal of management
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of international financial markets, institutions & money
1
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ECONIS (ZBW)
16
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
4
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:
5
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:
6
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:
7
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:
8
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
9
Further evidence on the relationship between beta stability and the length of the estimation period
Faff, Robert W.
- In:
Advances in investment analysis and portfolio …
4
(
1997
),
pp. 95-111
Persistent link: https://www.econbiz.de/10001229799
Saved in:
10
Testing the conditional CAPM and the effect of intervaling : a note
Brailsford, Timothy J.
- In:
Pacific-Basin finance journal
5
(
1997
)
5
,
pp. 527-537
Persistent link: https://www.econbiz.de/10001234778
Saved in:
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