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isPartOf:"Advances in quantitative analysis of finance and accounting : a research annual"
subject:"Börsenkurs"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Stock index"
~subject:"Volatilität"
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Börsenkurs
ARCH-Modell
Stock index
Volatilität
Estimation theory
73
Schätztheorie
73
Estimation
27
Schätzung
27
Volatility
17
Time series analysis
16
Zeitreihenanalyse
16
Capital income
12
Kapitaleinkommen
12
Share price
12
ARCH model
11
Correlation
11
Forecasting model
11
Korrelation
11
Portfolio selection
11
Portfolio-Management
11
Prognoseverfahren
11
Statistical distribution
9
Statistical test
9
Statistische Verteilung
9
Statistischer Test
9
CAPM
8
Regression analysis
8
Regressionsanalyse
8
Risikomaß
8
Risk measure
8
Risikoprämie
7
Risk premium
7
Stochastic process
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Stochastischer Prozess
7
Theorie
7
Theory
7
Analysis of variance
6
Option pricing theory
6
Optionspreistheorie
6
Robust statistics
6
Robustes Verfahren
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32
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1
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1
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1
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English
32
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Coutts, J. Andrew
2
Mills, Terence C.
2
Roberts, Jennifer
2
Sancetta, Alessio
2
Alexander, Carol
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Callen, Jeffrey L.
1
Casas, Isabel
1
Chou, Pin-huang
1
Cipollini, Fabrizio
1
Coggin, T. Daniel
1
Escobar, Marcos
1
Ferreira, Eva
1
Gallo, Giampiero M.
1
Ge̜bka, Bartosz
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gungor, Sermin
1
Hong, Seok Young
1
Huang, Haitao
1
Hung, Mao-Wei
1
Hunter, John Edward
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Jiang, Binyan
1
Jones, Charles Parker
1
Kim, Minjoo
1
Ko, Yi-Chen
1
Kumar, Dilip
1
Lazar, Emese
1
Leng, Xuan
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Xiaohui
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
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Advances in quantitative analysis of finance and accounting : a research annual
International review of financial analysis
Journal of financial econometrics
Journal of econometrics
155
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
Econometric theory
49
Economics letters
42
Discussion paper / Tinbergen Institute
39
Journal of empirical finance
34
Econometric reviews
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
CREATES research paper
25
Journal of banking & finance
24
Economic modelling
22
Finance research letters
22
The econometrics journal
20
Journal of forecasting
19
International journal of forecasting
18
Quantitative finance
18
International journal of economics and financial issues : IJEFI
16
The North American journal of economics and finance : a journal of financial economics studies
16
Applied economics
15
Journal of risk and financial management : JRFM
15
SFB 649 discussion paper
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
International journal of theoretical and applied finance
14
Journal of mathematical finance
14
Journal of risk
13
NBER Working Paper
13
Working paper
13
Working paper / Department of Econometrics and Business Statistics, Monash University
13
Cambridge working papers in economics
12
Computational economics
12
Econometrics : open access journal
12
Applied economics letters
11
Journal of time series econometrics
11
The European journal of finance
11
CORE discussion papers : DP
10
Journal of economic dynamics & control
10
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ECONIS (ZBW)
32
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
4
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
5
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
6
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
7
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
Saved in:
8
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
9
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
10
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
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