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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~source:"econis"
~type_genre:"Government document"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
312
Schätztheorie
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Theorie
239
Theory
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Statistical theory
45
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45
Time series analysis
39
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Li, Jia
2
Foster, Dean P.
1
Hansen, Bruce E.
1
Jacod, Jean
1
Li, Yingying
1
Mykland, Per A.
1
Nelson, Daniel B.
1
Sakata, Shinichi
1
Tauchen, George Eugene
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Uhlig, Harald
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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
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
Discussion paper / Tinbergen Institute
27
Economics letters
24
Econometric reviews
22
Journal of empirical finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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Finance research letters
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The econometrics journal
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Econometrics : open access journal
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International journal of economics and financial issues : IJEFI
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SFB 649 discussion paper
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Journal of mathematical finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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CBN journal of applied statistics
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1
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:
2
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:
3
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:
4
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
5
High breakdown point conditional dispersion estimation with application to S&P 500 daily returns to volatility
Sakata, Shinichi
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
3
,
pp. 529-567
Persistent link: https://www.econbiz.de/10001240761
Saved in:
6
Bayesian vector autoregressions with stochastic volatility
Uhlig, Harald
- In:
Econometrica : journal of the Econometric Society, an …
65
(
1997
)
1
,
pp. 59-73
Persistent link: https://www.econbiz.de/10001217067
Saved in:
7
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
Saved in:
8
Regression with nonstationary volatility
Hansen, Bruce E.
- In:
Econometrica : journal of the Econometric Society, an …
63
(
1995
)
5
,
pp. 1113-1132
Persistent link: https://www.econbiz.de/10001190384
Saved in:
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