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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Liu, Zhi"
~person:"Zhu, Ke"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
22
Schätztheorie
22
Time series analysis
14
Volatilität
7
ARCH model
5
ARCH-Modell
5
Estimation
4
Schätzung
4
VAR model
4
VAR-Modell
4
Heteroscedasticity
3
Heteroskedastizität
3
Market microstructure
3
Marktmikrostruktur
3
Portmanteau test
3
Regression analysis
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Regressionsanalyse
3
Statistical test
3
Statistischer Test
3
Stochastic process
3
Stochastischer Prozess
3
Central limit theorem
2
Cointegration
2
DAR model
2
Induktive Statistik
2
Kointegration
2
Lasso
2
Martingal
2
Martingale
2
Microstructure noise
2
Nichtparametrisches Verfahren
2
Noise Trading
2
Noise trading
2
Nonparametric statistics
2
Sparse estimation
2
Statistical inference
2
Vector AutoRegressive model
2
vector autoregression
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Croux, Christophe
Liu, Zhi
Zhu, Ke
Gao, Jiti
10
Li, Jia
10
Phillips, Peter C. B.
10
Todorov, Viktor
10
Kumar, Dilip
9
Francq, Christian
8
Linton, Oliver
8
Demetrescu, Matei
7
Kapetanios, George
7
Koopman, Siem Jan
7
Lütkepohl, Helmut
7
Taylor, Robert
7
Teräsvirta, Timo
7
Wang, Shouyang
7
Andersen, Torben
6
Kim, Donggyu
6
Li, Degui
6
Li, Yingying
6
Lucas, André
6
Marcellino, Massimiliano
6
Mykland, Per A.
6
Nielsen, Morten Ørregaard
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Bauwens, Luc
5
Blasques, Francisco
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Davis, Richard A.
5
Dong, Chaohua
5
Li, Dong
5
Maheswaran, S.
5
Omay, Tolga
5
Poskitt, Donald Stephen
5
Sentana, Enrique
5
Sucarrat, Genaro
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Econometric theory
1
Finance and stochastics
1
International journal of forecasting
1
Journal of econometric methods
1
Journal of financial econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
17
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Testing error distribution by kernelized Stein discrepancy in multivariate time series models
Luo, Donghang
;
Zhu, Ke
;
Gong, Huan
;
Li, Dong
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 111-125
Persistent link: https://www.econbiz.de/10013540650
Saved in:
3
Multifrequency-band tests for white noise under heteroscedasticity
Liu, Mengya
;
Zhu, Fukang
;
Zhu, Ke
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 799-814
Persistent link: https://www.econbiz.de/10013534533
Saved in:
4
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
5
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
6
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
7
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
8
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
9
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
10
Model checks for nonlinear cointegrating regression
Wang, Qiying
;
Wu, Dongsheng
;
Zhu, Ke
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10012116349
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