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subject:"Share price"
subject:"United Kingdom"
~person:"Li, Jia"
~person:"Mills, Terence C."
~subject:"VAR model"
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Search: subject_exact:"Estimation theory"
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Share price
United Kingdom
VAR model
Estimation theory
38
Schätztheorie
38
Time series analysis
26
Zeitreihenanalyse
26
Volatility
17
Volatilität
17
Börsenkurs
12
Estimation
12
Schätzung
12
Theorie
8
Theory
8
Capital income
7
Kapitaleinkommen
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
High-frequency data
5
Stochastic process
5
Stochastischer Prozess
5
Großbritannien
4
Induktive Statistik
4
Martingal
4
Martingale
4
Regression analysis
4
Regressionsanalyse
4
Statistical inference
4
Statistical test
4
Statistischer Test
4
Econometric model
3
Financial market
3
Finanzmarkt
3
Market microstructure
3
Marktmikrostruktur
3
Specification test
3
Stochastic volatility
3
Ökonometrisches Modell
3
Adaptive estimation
2
Beta
2
Beta risk
2
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14
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2
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1
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English
15
Author
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Li, Jia
Mills, Terence C.
Lütkepohl, Helmut
51
Kilian, Lutz
29
Kapetanios, George
26
Pesaran, M. Hashem
25
Winker, Peter
25
Staszewska-Bystrova, Anna
23
Inoue, Atsushi
21
Koop, Gary
15
Sentana, Enrique
14
Theodoridis, Konstantinos
14
Teräsvirta, Timo
13
Gao, Jiti
11
Linton, Oliver
11
Vahid, Farshid
11
Athanasopoulos, George
10
Bekaert, Geert
10
Chan, Joshua
10
Chevillon, Guillaume
10
Johansen, Søren
10
Jordà, Òscar
10
Marcellino, Massimiliano
10
Tauchen, George Eugene
10
Bruns, Martin
9
Gouriéroux, Christian
9
Kurita, Takamitsu
9
Maheswaran, S.
9
Milunovich, George
9
Todorov, Viktor
9
Zakoïan, Jean-Michel
9
Allen, David E.
8
Bailey, Natalia
8
Bauwens, Luc
8
Brüggemann, Ralf
8
Burkhauser, Richard V.
8
Croux, Christophe
8
Escanciano, Juan Carlos
8
Hautsch, Nikolaus
8
Jenkins, Stephen
8
Saikkonen, Pentti
8
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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
International review of financial analysis
2
Economic research paper / Loughborough University, Department of Economics
1
Economic research paper / Loughborough University, Department of Economics / Loughborough University, Department of Economics
1
International journal of finance & economics : IJFE
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic surveys
1
Ricerche economiche
1
Scottish journal of political economy : the journal of the Scottish Economic Society
1
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ECONIS (ZBW)
15
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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
Recent developments in modelling nonstationary vector autoregressions
Mills, Terence C.
- In:
Journal of economic surveys
12
(
1998
)
3
,
pp. 279-312
Persistent link: https://www.econbiz.de/10001244882
Saved in:
10
The econometrics of the "market model" : cointegration, error correction and exogeneity
Mills, Terence C.
- In:
International journal of finance & economics : IJFE
1
(
1996
)
4
,
pp. 275-286
Persistent link: https://www.econbiz.de/10001211526
Saved in:
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