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person:"Croux, Christophe"
subject:"Volatility"
~person:"Li, Yingying"
~person:"Mykland, Per A."
~subject:"VAR-Modell"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
VAR-Modell
Estimation theory
31
Schätztheorie
31
Market microstructure
13
Marktmikrostruktur
13
Volatilität
13
Time series analysis
12
Zeitreihenanalyse
12
Noise Trading
8
Noise trading
8
Capital income
7
Kapitaleinkommen
7
Börsenkurs
6
Market microstructure noise
6
Share price
6
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Robust statistics
5
Robustes Verfahren
5
Asynchronous times
4
High frequency data
4
Integrated volatility
4
Microstructure
4
Realized volatility
4
Regression analysis
4
Regressionsanalyse
4
Sampling
4
Stichprobenerhebung
4
VAR model
4
Analysis of variance
3
Consistency
3
Discrete observation
3
Efficiency
3
Estimation
3
Forecasting model
3
High-frequency data
3
Leverage effect
3
Martingal
3
Martingale
3
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Aufsatz in Zeitschrift
Article in journal
17
Graue Literatur
10
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10
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8
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English
17
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Croux, Christophe
Li, Yingying
Mykland, Per A.
Kumar, Dilip
16
Maheswaran, S.
14
Lütkepohl, Helmut
13
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Teräsvirta, Timo
9
Francq, Christian
8
Liu, Zhi
8
Andersen, Torben
7
Kim, Donggyu
7
Ghysels, Eric
6
Gouriéroux, Christian
6
Inoue, Atsushi
6
Kilian, Lutz
6
Kurita, Takamitsu
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Bohn Nielsen, Heino
5
Bollerslev, Tim
5
Boswijk, Herman Peter
5
Chan, Joshua
5
Fan, Jianqing
5
Hafner, Christian M.
5
Jing, Bingyi
5
Koop, Gary
5
Koopman, Siem Jan
5
Taylor, Stephen
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Bauwens, Luc
4
Cavaliere, Giuseppe
4
Chevillon, Guillaume
4
Clements, Adam
4
Demetrescu, Matei
4
Elliott, Robert J.
4
Fičura, Milan
4
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Journal of econometrics
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Energy economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometric methods
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of retailing
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
17
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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
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
5
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:
6
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
7
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
8
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:
9
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:
10
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
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