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subject:"Schätzung"
subject:"Statistical theory"
~person:"Todorov, Viktor"
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Search: subject_exact:"Estimation theory"
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Schätzung
Statistical theory
Estimation theory
21
Schätztheorie
21
Volatility
19
Volatilität
19
Estimation
14
Stochastic process
12
Stochastischer Prozess
12
Time series analysis
11
Zeitreihenanalyse
11
Börsenkurs
9
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6
Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Option pricing theory
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Optionspreistheorie
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Stochastic volatility
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Martingal
3
Martingale
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Options
3
Statistical distribution
3
Statistische Verteilung
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Adaptive estimation
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Beta
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Beta risk
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Betafaktor
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Induktive Statistik
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Jumps
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Laplace transform
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Option trading
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Optionsgeschäft
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Todorov, Viktor
Pesaran, M. Hashem
49
Gao, Jiti
44
Linton, Oliver
34
Kapetanios, George
30
Angrist, Joshua D.
23
Diebold, Francis X.
23
Cai, Zongwu
22
Marcellino, Massimiliano
22
Koop, Gary
21
Phillips, Peter C. B.
21
Hsiao, Cheng
19
Winkelmann, Rainer
19
Hsu, Yu-Chin
18
Heckman, James J.
17
Lütkepohl, Helmut
17
White, Halbert
17
Baltagi, Badi H.
16
Chudik, Alexander
16
Hoderlein, Stefan
16
Härdle, Wolfgang
16
Koopman, Siem Jan
16
Kumbhakar, Subal
16
Lechner, Michael
16
Su, Liangjun
16
Tauchen, George Eugene
16
Bera, Anil K.
15
Dufour, Jean-Marie
15
Gouriéroux, Christian
14
Kim, Donggyu
14
McAleer, Michael
14
Pei, Zhuan
14
Davidson, Russell
13
Jochmans, Koen
13
Schorfheide, Frank
13
Weber, Andrea
13
Weidner, Martin
13
Bekaert, Geert
12
Huber, Florian
12
Imbens, Guido W.
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Journal of econometrics
8
ERID working paper
2
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
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ECONIS (ZBW)
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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
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
3
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:
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
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
8
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:
9
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
10
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:
11
Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2010
Persistent link: https://www.econbiz.de/10009560323
Saved in:
12
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor
-
2010
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility,...
Persistent link: https://www.econbiz.de/10013137409
Saved in:
13
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:
14
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
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