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subject:"United Kingdom"
subject:"Share price"
~person:"Faff, Robert W."
~person:"Todorov, Viktor"
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United Kingdom
Share price
Estimation theory
33
Schätztheorie
33
Volatility
21
Volatilität
21
Estimation
17
Schätzung
17
Börsenkurs
16
Stochastic process
12
Stochastischer Prozess
12
Time series analysis
11
Zeitreihenanalyse
11
Capital income
8
Kapitaleinkommen
8
Australia
7
Australien
7
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Option pricing theory
6
Optionspreistheorie
6
High-frequency data
5
Stochastic volatility
5
CAPM
4
Martingal
3
Martingale
3
Options
3
Regression analysis
3
Regressionsanalyse
3
Statistical distribution
3
Statistische Verteilung
3
Theorie
3
Theory
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bias
2
Forecasting model
2
Induktive Statistik
2
Jumps
2
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English
16
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Faff, Robert W.
Todorov, Viktor
Kapetanios, George
17
Pesaran, M. Hashem
17
Bekaert, Geert
10
Linton, Oliver
10
Tauchen, George Eugene
10
Maheswaran, S.
9
Allen, David E.
8
Bailey, Natalia
8
Burkhauser, Richard V.
8
Hautsch, Nikolaus
8
Jenkins, Stephen
8
Li, Jia
8
Hildenbrand, Werner
7
Koop, Gary
7
Malec, Peter
7
Mills, Terence C.
7
Patterson, Kerry D.
7
Runde, Ralf
7
Teräsvirta, Timo
7
Bauwens, Luc
6
Blundell, Richard W.
6
Gao, Jiti
6
Härdle, Wolfgang
6
Jordà, Òscar
6
Kim, Donggyu
6
Knüppel, Malte
6
Krämer, Walter
6
Wilkins, Roger
6
Zakoïan, Jean-Michel
6
Bibinger, Markus
5
Biewen, Martin
5
Brandt, Michael W.
5
Caporale, Guglielmo Maria
5
Engle, Robert F.
5
Ericsson, Neil R.
5
Garratt, Anthony
5
Hodrick, Robert J.
5
Hérault, Nicolas
5
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Journal of econometrics
6
Working paper
2
Advances in investment analysis and portfolio management : a research annual
1
Australian journal of management
1
ERID working paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of banking & finance
1
Journal of international financial markets, institutions & money
1
Pacific-Basin finance journal
1
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ECONIS (ZBW)
16
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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
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
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:
4
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:
5
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:
6
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
7
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:
8
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:
9
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:
10
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:
11
An examination of the effects of major political change on stock market volatility : the South African experience
Brooks, Robert
- In:
Journal of international financial markets, …
7
(
1997
)
3
,
pp. 255-275
Persistent link: https://www.econbiz.de/10001238418
Saved in:
12
An evaluation of volatility forecasting techniques
Brailsford, Timothy J.
- In:
Journal of banking & finance
20
(
1996
)
3
,
pp. 419-438
Persistent link: https://www.econbiz.de/10001197045
Saved in:
13
Beta stability and portfolio formation
Brooks, Robert
- In:
Pacific-Basin finance journal
2
(
1994
)
4
,
pp. 463-479
Persistent link: https://www.econbiz.de/10001178922
Saved in:
14
Modelling Australian stock market volatility
Brailsford, Timothy J.
;
Faff, Robert W.
-
1993
Persistent link: https://www.econbiz.de/10000878805
Saved in:
15
Modelling Australian stock market volatility
Brailsford, Timothy J.
- In:
Australian journal of management
18
(
1993
)
2
,
pp. 109-132
Persistent link: https://www.econbiz.de/10001158400
Saved in:
16
Beta stability and portfolio formation
Brooks, Robert
;
Faff, Robert W.
;
Lee, John H. H.
-
1993
Persistent link: https://www.econbiz.de/10000869915
Saved in:
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