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subject:"Simulation"
isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~subject:"Volatilität"
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Estimation theory
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
154
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
Economics letters
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10
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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1
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
2
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:
3
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
4
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:
5
The method of simulated scores for the estimation of LDV models
Hajivassiliou, Vassilis Argyrou
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
4
,
pp. 863-896
Persistent link: https://www.econbiz.de/10001246052
Saved in:
6
High breakdown point conditional dispersion estimation with application to S&P 500 daily returns to volatility
Sakata, Shinichi
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
3
,
pp. 529-567
Persistent link: https://www.econbiz.de/10001240761
Saved in:
7
Bayesian vector autoregressions with stochastic volatility
Uhlig, Harald
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
1
,
pp. 59-73
Persistent link: https://www.econbiz.de/10001217067
Saved in:
8
Bootstrap critical values for tests based on generalized-method-of-moments estimators
Hall, Peter
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
4
,
pp. 891-916
Persistent link: https://www.econbiz.de/10001203908
Saved in:
9
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
Saved in:
10
Regression with nonstationary volatility
Hansen, Bruce E.
- In:
Econometrica : journal of the Econometric Society, an …
63
(
1995
)
5
,
pp. 1113-1132
Persistent link: https://www.econbiz.de/10001190384
Saved in:
11
Simulated moments estimation of Markov models of asset prices
Duffie, Darrell
- In:
Econometrica : journal of the Econometric Society, an …
61
(
1993
)
4
,
pp. 929-952
Persistent link: https://www.econbiz.de/10001147160
Saved in:
12
A new form of the information matrix test
Davidson, Russell
- In:
Econometrica : journal of the Econometric Society, an …
60
(
1992
)
1
,
pp. 145-157
Persistent link: https://www.econbiz.de/10001121805
Saved in:
13
Trimmed lad and least squares estimation of truncated and censored regression models with fixed effects
Honoré, Bo E.
- In:
Econometrica : journal of the Econometric Society, an …
60
(
1992
)
3
,
pp. 533-565
Persistent link: https://www.econbiz.de/10001125723
Saved in:
14
Automatic frequency domain inference on semiparametric and nonparametric models
Robinson, Peter M.
- In:
Econometrica : journal of the Econometric Society, an …
59
(
1991
)
5
,
pp. 1329-1363
Persistent link: https://www.econbiz.de/10001113283
Saved in:
15
Testing for a global maximum in an econometric context
Veall, Michael R.
- In:
Econometrica : journal of the Econometric Society, an …
58
(
1990
)
6
,
pp. 1459-1465
Persistent link: https://www.econbiz.de/10001097573
Saved in:
16
Simulation and the asymptotics of optimization estimators
Pakes, Ariel
- In:
Econometrica : journal of the Econometric Society, an …
57
(
1989
)
5
,
pp. 1027-1057
Persistent link: https://www.econbiz.de/10001076170
Saved in:
17
Alternative estimators of FIML covariance matrix : a Monte Carlo study
Calzolari, Giorgio
- In:
Econometrica : journal of the Econometric Society, an …
56
(
1988
)
3
,
pp. 701-714
Persistent link: https://www.econbiz.de/10001047009
Saved in:
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