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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"
~subject:"Time series analysis"
~subject:"Volatilität"
~subject:"Wahrscheinlichkeitsrechnung"
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Volatility
Time series analysis
Volatilität
Wahrscheinlichkeitsrechnung
Estimation theory
312
Schätztheorie
312
Theorie
239
Theory
239
Statistical theory
45
Statistische Methodenlehre
45
Zeitreihenanalyse
39
Nichtparametrisches Verfahren
35
Nonparametric statistics
35
Probability theory
19
USA
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Panel study
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Method of moments
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6
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Econometrics
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Article
60
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Article in journal
Aufsatz in Zeitschrift
60
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English
60
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Nelson, Daniel B.
4
Phillips, Peter C. B.
4
Andrews, Donald W. K.
3
Stock, James H.
3
Tauchen, George Eugene
3
White, Halbert
3
Abadir, Karim Maher
2
Erickson, Timothy
2
Foster, Dean P.
2
Hadri, Kaddour
2
Li, Jia
2
Newey, Whitney K.
2
Sims, Christopher A.
2
Tzavalis, Elias
2
Uhlig, Harald
2
Watson, Mark W.
2
Alvarez, Javier
1
Arellano, Manuel
1
Back, Kerry E.
1
Bai, Jushan
1
Bierens, Herman J.
1
Brown, David P.
1
Camerer, Colin
1
Chen, Xiaohong
1
Cooley, Thomas F.
1
DeJong, David Neil
1
Doornik, Jurgen A.
1
Duffie, Darrell
1
Dufour, Jean-Marie
1
Engle, Robert F.
1
Faust, Jon
1
Gallant, A. Ronald
1
Hamilton, James D.
1
Hansen, Bruce E.
1
Harless, David W.
1
Holtz-Eakin, Douglas
1
Hong, Yongmiao
1
Honoré, Bo E.
1
Horowitz, Joel
1
Hsiao, Cheng
1
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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
387
Econometric theory
176
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
176
Economics letters
164
Econometric reviews
106
International journal of forecasting
77
Journal of forecasting
62
Applied economics letters
55
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Econometrics : open access journal
52
The econometrics journal
46
Economic modelling
44
Journal of the American Statistical Association : JASA
41
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Journal of time series econometrics
40
Applied economics
38
Computational economics
37
Journal of empirical finance
37
Journal of applied econometrics
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Oxford bulletin of economics and statistics
24
Finance research letters
23
Journal of risk and financial management : JRFM
23
Journal of banking & finance
21
European journal of operational research : EJOR
20
Statistics in transition : an international journal of the Polish Statistical Association
20
Journal of financial econometrics
18
Quantitative finance
18
The review of economic studies
18
Insurance / Mathematics & economics
17
Journal of economic dynamics & control
17
Quantitative economics : QE ; journal of the Econometric Society
17
International journal of economics and financial issues : IJEFI
16
Statistical papers
16
The North American journal of economics and finance : a journal of financial economics studies
16
The review of economics and statistics
16
Journal of macroeconomics
15
Journal of quantitative economics
15
International journal of theoretical and applied finance
14
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ECONIS (ZBW)
60
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1
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:
2
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:
3
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:
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
Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
Bai, Jushan
;
Ng, Serena
- In:
Econometrica : journal of the Econometric Society, an …
74
(
2006
)
4
,
pp. 1133-1150
Persistent link: https://www.econbiz.de/10003346183
Saved in:
6
The influence of VAR dimensions on estimator biases : comment
Doornik, Jurgen A.
;
Nielsen, Bent
;
Rothenberg, Thomas J.
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
1
,
pp. 377-383
Persistent link: https://www.econbiz.de/10001731136
Saved in:
7
The time series and cross section asymptotics of dynamic panel data estimators
Alvarez, Javier
;
Arellano, Manuel
- In:
Econometrica : journal of the Econometric Society, an …
71
(
2003
)
4
,
pp. 1121-1159
Persistent link: https://www.econbiz.de/10001792653
Saved in:
8
Lower risk bounds and properties of confidence sets for ill-posed estimation problems with applications to spectral density and persistence estimation, unit roots, and estimation o...
Pötscher, Benedikt M.
- In:
Econometrica : journal of the Econometric Society, an …
70
(
2002
)
3
,
pp. 1035-1065
Persistent link: https://www.econbiz.de/10001688015
Saved in:
9
Subsampling intervals in autoregressive models with linear time trend
Romano, Joseph P.
;
Wolf, Michael
- In:
Econometrica : journal of the Econometric Society, an …
69
(
2001
)
5
,
pp. 1283-1314
Persistent link: https://www.econbiz.de/10001612104
Saved in:
10
The econometrics of ultra-high-frequency data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
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