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person:"Stambaugh, Robert F."
subject:"Share price"
~person:"Todorov, Viktor"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Estimation theory"
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Share price
Prognoseverfahren
Estimation theory
30
Schätztheorie
30
Volatility
19
Volatilität
19
Estimation
17
Schätzung
17
Stochastic process
17
Stochastischer Prozess
17
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14
Kapitaleinkommen
14
Börsenkurs
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Time series analysis
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CAPM
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Theory
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Nichtparametrisches Verfahren
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Kapitalkosten
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Options
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United States
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Adaptive estimation
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Stambaugh, Robert F.
Todorov, Viktor
Swanson, Norman R.
32
Kapetanios, George
24
Pesaran, M. Hashem
22
Corradi, Valentina
18
Marcellino, Massimiliano
18
Koop, Gary
17
McCracken, Michael W.
16
Cai, Zongwu
15
Koopman, Siem Jan
15
Clark, Todd E.
14
Huber, Florian
14
Kumar, Dilip
14
Hyndman, Rob J.
13
Rossi, Barbara
13
Teräsvirta, Timo
13
Diebold, Francis X.
12
Gao, Jiti
12
Linton, Oliver
12
Chevillon, Guillaume
11
Hendry, David F.
11
Phillips, Peter C. B.
11
West, Kenneth D.
11
Athanasopoulos, George
10
Jordà, Òscar
10
Knüppel, Malte
10
Maheswaran, S.
10
Sekhposyan, Tatevik
10
Tauchen, George Eugene
10
Vahid, Farshid
10
Xu, Ke-Li
10
Audrino, Francesco
9
Baltagi, Badi H.
9
Bauwens, Luc
9
Lahiri, Kajal
9
Varneskov, Rasmus Tangsgaard
9
Zakoïan, Jean-Michel
9
Bailey, Natalia
8
Dijk, Dick van
8
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8
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Rodney L. White Center for Financial Research
1
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Journal of econometrics
6
ERID working paper
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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
1
Journal of financial economics
1
Working paper series / Center for Research in Security Prices
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ECONIS (ZBW)
12
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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
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:
4
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:
5
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:
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
Mutual fund performance and seemingly unrelated assets
Pástor, Ľuboš
;
Stambaugh, Robert F.
- In:
Journal of financial economics
63
(
2002
)
3
,
pp. 315-349
Persistent link: https://www.econbiz.de/10001661695
Saved in:
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