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subject:"Volatility"
type_genre:"Article in journal"
~language:"eng"
~person:"Andersen, Torben"
~person:"Koopman, Siem Jan"
~person:"Todorov, Viktor"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
32
Schätztheorie
32
Volatilität
22
Time series analysis
19
Zeitreihenanalyse
19
Estimation
13
Schätzung
13
Stochastic process
11
Stochastischer Prozess
11
Capital income
9
Kapitaleinkommen
9
Börsenkurs
8
Share price
8
Forecasting model
7
Prognoseverfahren
7
Stochastic volatility
7
High-frequency data
5
Induktive Statistik
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Nichtparametrisches Verfahren
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Nonparametric statistics
4
Regression analysis
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Regressionsanalyse
4
Statistical inference
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Theorie
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Theory
4
Consistency
3
Fractional integration
3
Kalman filter
3
Martingal
3
Martingale
3
Option pricing theory
3
Options
3
Optionspreistheorie
3
State space model
3
Statistical test
3
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Article
22
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Article in journal
Aufsatz in Zeitschrift
22
Arbeitspapier
15
Graue Literatur
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Non-commercial literature
15
Working Paper
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English
Author
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Andersen, Torben
Koopman, Siem Jan
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Tauchen, George Eugene
10
Liu, Zhi
8
Teräsvirta, Timo
8
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Hwang, Eunju
4
Li, Wai Keung
4
Mancino, Maria Elvira
4
McAleer, Michael
4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Silvennoinen, Annastiina
4
Song, Yuping
4
Sucarrat, Genaro
4
Taylor, James W.
4
Wang, Jying-Nan
4
Wu, Xinyu
4
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Journal of econometrics
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Econometric theory
1
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 econometrics : official journal of the Society for Financial Econometrics
1
Special section on small-sample properties of generalized method of moments (GMM)
1
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ECONIS (ZBW)
22
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1
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
2
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:
3
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:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
6
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
7
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
8
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
9
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
10
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
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