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subject:"Time series analysis"
subject:"Volatilität"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
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Search: subject_exact:"Estimation theory"
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Time series analysis
Volatilität
Estimation theory
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Stock, James H.
5
Nelson, Daniel B.
4
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3
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2
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2
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Technical working paper / National Bureau of Economic Research
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368
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Economics letters
153
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1
Edgeworth expansion for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
-
2005
Persistent link: https://www.econbiz.de/10003217402
Saved in:
2
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
-
2001
Persistent link: https://www.econbiz.de/10001606888
Saved in:
3
Asymptotically median unbiased estimation of coefficient variance in a time varying parameter model
Stock, James H.
;
Watson, Mark W.
-
1996
Persistent link: https://www.econbiz.de/10000945159
Saved in:
4
A comparison of alternative instrumental variables estimators of a dynamic linear model
West, Kenneth D.
;
Wilcox, David W.
-
1995
Persistent link: https://www.econbiz.de/10000934955
Saved in:
5
Modeling volatility dynamics
Diebold, Francis X.
;
García López, José A.
-
1995
Persistent link: https://www.econbiz.de/10000920972
Saved in:
6
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
;
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000934888
Saved in:
7
Asymptotic filtering theory for multivariate ARCH models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000920888
Saved in:
8
Estimating deterministic trends in the presence of serially correlated errors
Canjels, Eugene
-
1994
Persistent link: https://www.econbiz.de/10000920895
Saved in:
9
Optimal prediction under asymmetric loss
Christoffersen, Peter F.
-
1994
Persistent link: https://www.econbiz.de/10000920915
Saved in:
10
Asymptotically optimal smoothing with arch models
Nelson, Daniel B.
-
1994
Persistent link: https://www.econbiz.de/10000920975
Saved in:
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