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subject:"Cointegration"
type_genre:"Collection of articles written by one author"
~person:"Mykland, Per A."
~subject:"Prognoseverfahren"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Cointegration
Prognoseverfahren
Volatilität
Estimation theory
13
Schätztheorie
13
Market microstructure
7
Marktmikrostruktur
7
Volatility
7
Asynchronous times
4
Capital income
4
Kapitaleinkommen
4
Microstructure
4
Sampling
4
Stichprobenerhebung
4
Börsenkurs
3
Consistency
3
Discrete observation
3
Leverage effect
3
Robust estimation
3
Robust statistics
3
Robustes Verfahren
3
Share price
3
Efficiency
2
Equivalent martingale measure
2
Irregular times
2
Martingal
2
Martingale
2
Noise Trading
2
Noise trading
2
Pre-averaging
2
Realized volatility
2
Stable convergence
2
Theorie
2
Theory
2
Time
2
Time series analysis
2
Two scales estimation
2
Zeit
2
Zeitreihenanalyse
2
ARCH model
1
ARCH-Modell
1
Asymptotic bias
1
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Collection of articles written by one author
Article in journal
Aufsatz in Zeitschrift
7
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English
7
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Mykland, Per A.
Phillips, Peter C. B.
19
Kumar, Dilip
16
Maheswaran, S.
14
Teräsvirta, Timo
13
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Taylor, Robert
10
Demetrescu, Matei
9
Paruolo, Paolo
9
Tu, Yundong
9
Andersen, Torben
8
Cai, Zongwu
8
Francq, Christian
8
Koopman, Siem Jan
8
Liu, Zhi
8
Ramírez, Miguel D.
8
Swanson, Norman R.
8
Wagner, Martin
8
Baltagi, Badi H.
7
Boswijk, Herman Peter
7
Gao, Jiti
7
Johansen, Søren
7
Kim, Donggyu
7
Li, Yingying
7
Taylor, James W.
7
Bauwens, Luc
6
Bohn Nielsen, Heino
6
Cavaliere, Giuseppe
6
Chevillon, Guillaume
6
Hafner, Christian M.
6
Hendry, David F.
6
Kapetanios, George
6
Koop, Gary
6
Kurita, Takamitsu
6
Lahiri, Kajal
6
Rodrigues, Paulo M. M.
6
Sbrana, Giacomo
6
Shang, Han Lin
6
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Journal of econometrics
4
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 business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
7
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1
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:
2
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:
3
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:
4
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:
5
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
6
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
7
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
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