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isPartOf:"Econometric reviews"
type_genre:"Bibliography included"
~isPartOf:"Advances in spatial and network economics"
~isPartOf:"Quantitative finance"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
473
Schätztheorie
473
Theorie
132
Theory
132
Time series analysis
96
Zeitreihenanalyse
96
Nichtparametrisches Verfahren
84
Nonparametric statistics
84
Estimation
66
Schätzung
66
Regression analysis
65
Regressionsanalyse
65
Statistical test
58
Statistischer Test
58
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56
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56
Volatilität
37
Method of moments
36
Momentenmethode
36
Autocorrelation
32
Autokorrelation
32
Statistical theory
27
Statistische Methodenlehre
27
Cointegration
26
Modellierung
26
Scientific modelling
26
Kointegration
25
Statistical distribution
25
Statistische Verteilung
25
Monte Carlo simulation
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Monte-Carlo-Simulation
24
Bootstrap approach
23
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23
Stochastic process
23
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23
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22
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20
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20
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Bibliography included
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37
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37
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Maasoumi, Esfandiar
3
Teräsvirta, Timo
3
McAleer, Michael
2
Amado, Cristina
1
Bayer, Christian
1
Behrendt, Simon
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Boswijk, Herman Peter
1
Breneis, Simon
1
Brownlees, Christian
1
Cai, Yuzhi
1
Cai, Zongwu
1
Canabarro, Askery
1
Cang, Yuquan
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Chatterjee, Rupak
1
Chen, Qiang
1
Chi, Xie
1
Chronopoulou, Alexandra
1
De Angelis, Luca
1
Favreau, Charles
1
Fornari, Fabio
1
Galakis, John
1
Galbraith, John W.
1
Gu, Wentao
1
Hansen, Peter Reinhard
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Hizmeri, Rodrigo
1
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1
Hu, Meidi
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
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1
Kanatani, Taro
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Koopman, Siem Jan
1
Large, Jeremy
1
Lewis, Alan L.
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Econometric reviews
Advances in spatial and network economics
Quantitative finance
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
The European journal of finance
5
The journal of risk model validation
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
3
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
4
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
5
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
6
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
7
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
8
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
9
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
10
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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