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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Li, Yingying"
~person:"Nelson, Daniel B."
~subject:"Kapitaleinkommen"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatilität
Kapitaleinkommen
Estimation theory
23
Schätztheorie
23
Time series analysis
16
Zeitreihenanalyse
16
Volatility
11
Market microstructure
10
Marktmikrostruktur
10
Theorie
10
Theory
10
Noise Trading
7
Noise trading
7
Capital income
6
Börsenkurs
5
Market microstructure noise
5
Share price
5
Analysis of variance
4
Correlation
4
Estimation
4
Korrelation
4
Schätzung
4
USA
4
United States
4
Varianzanalyse
4
ARCH model
3
ARCH-Modell
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High frequency data
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Integrated volatility
3
Nichtparametrisches Verfahren
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Nonparametric statistics
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Dynamic dependencies
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High dimension
2
High-frequency data
2
Microstructure noise
2
Minimum variance portfolio
2
Monte Carlo simulation
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Monte-Carlo-Simulation
2
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13
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Article in journal
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Non-commercial literature
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English
13
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Corsi, Fulvio
Li, Yingying
Nelson, Daniel B.
Kumar, Dilip
16
Maheswaran, S.
16
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Andersen, Torben
8
Francq, Christian
8
Teräsvirta, Timo
8
Kim, Donggyu
7
Liu, Zhi
7
Mykland, Per A.
7
Demetrescu, Matei
6
Koopman, Siem Jan
6
Taylor, Robert
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Linton, Oliver
5
Rodrigues, Paulo M. M.
5
Taylor, Stephen
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Hwang, Eunju
4
Li, Wai Keung
4
Luger, Richard
4
Mancino, Maria Elvira
4
McAleer, Michael
4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shephard, Neil G.
4
Shin, Dong-wan
4
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Journal of econometrics
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
The journal of finance : the journal of the American Finance Association
1
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ECONIS (ZBW)
13
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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
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
3
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
4
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
5
High-dimensional minimum variance portfolio estimation based on high-frequency data
Cai, T. Tony
;
Hu, Jianchang
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012439068
Saved in:
6
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
7
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
8
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:
9
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
10
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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