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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~person:"Todorov, Viktor"
~subject:"Induktive Statistik"
~subject:"Laplace transform"
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Search: subject_exact:"Estimation theory"
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Volatility
Induktive Statistik
Laplace transform
Estimation theory
36
Schätztheorie
36
ARCH model
19
ARCH-Modell
19
Volatilität
19
Estimation
17
Schätzung
17
Time series analysis
13
Zeitreihenanalyse
13
Börsenkurs
11
Share price
11
Stochastic process
11
Stochastischer Prozess
11
Capital income
7
Kapitaleinkommen
7
High-frequency data
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Risikomaß
5
Risk measure
5
Stochastic volatility
5
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Statistical inference
4
Beta risk
3
Betafaktor
3
Bootstrap approach
3
Bootstrap-Verfahren
3
Forecasting model
3
Martingal
3
Martingale
3
Measurement
3
Messung
3
Option pricing theory
3
Options
3
Optionspreistheorie
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Prognoseverfahren
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Article in journal
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English
20
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Francq, Christian
Todorov, Viktor
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Chernozhukov, Victor
10
Tauchen, George Eugene
10
Andersen, Torben
8
Andrews, Donald W. K.
8
Li, Yingying
8
Liu, Zhi
8
Teräsvirta, Timo
8
Fan, Jianqing
7
Ghysels, Eric
7
Inoue, Atsushi
7
Khalaf, Lynda
7
Kim, Donggyu
7
Mykland, Per A.
7
Shi, Xiaoxia
7
Dufour, Jean-Marie
6
Fan, Yanqin
6
Jing, Bingyi
6
Kilian, Lutz
6
Linton, Oliver
6
Simar, Léopold
6
Wang, Yazhen
6
Wilson, Paul W.
6
Zakoïan, Jean-Michel
6
Bollerslev, Tim
5
Bugni, Federico A.
5
Cattaneo, Matias D.
5
Hafner, Christian M.
5
Hansen, Christian Bailey
5
Koopman, Siem Jan
5
Phillips, Peter C. B.
5
Taylor, Stephen
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Boswijk, Herman Peter
4
Cavaliere, Giuseppe
4
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Journal of econometrics
14
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
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)
20
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
7
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:
8
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
9
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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
Saved in:
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