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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Applied economics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistische Verteilung
Estimation theory
367
Schätztheorie
367
Theorie
141
Theory
141
Estimation
82
Schätzung
82
Time series analysis
82
Zeitreihenanalyse
82
Nichtparametrisches Verfahren
47
Nonparametric statistics
47
Volatilität
43
Regression analysis
38
Regressionsanalyse
38
Stochastic process
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Kointegration
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Härdle, Wolfgang
4
Spokojnyj, Vladimir G.
4
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2
Herwartz, Helmut
2
Kim, Jong-Min
2
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2
Abutaleb, Ahmed S.
1
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1
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1
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1
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1
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1
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1
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1
Francq, Christian
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Frederiksen, Per
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Applied economics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
Journal of econometrics
166
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Economics letters
46
Discussion paper / Tinbergen Institute
44
Insurance / Mathematics & economics
44
Econometric reviews
41
Econometric theory
38
The econometrics journal
26
Journal of empirical finance
25
Statistics in transition : an international journal of the Polish Statistical Association
24
International journal of forecasting
23
CEMMAP working papers / Centre for Microdata Methods and Practice
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Discussion paper / Center for Economic Research, Tilburg University
20
CREATES research paper
19
Econometrics : open access journal
19
Economic modelling
19
Journal of financial econometrics
19
Journal of the American Statistical Association : JASA
19
Journal of banking & finance
18
Finance research letters
17
Journal of risk and financial management : JRFM
17
Discussion papers of interdisciplinary research project 373
15
European journal of operational research : EJOR
15
International journal of theoretical and applied finance
15
Journal of forecasting
15
SFB 649 discussion paper
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
15
Computational economics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of mathematical finance
13
Risks : open access journal
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Journal of risk
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NBER Working Paper
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Statistical papers
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11
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
12
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
13
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
Saved in:
14
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
15
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
16
Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying
;
Qiao, Kenan
;
Wang, Shouyang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 865-879
Persistent link: https://www.econbiz.de/10012500201
Saved in:
17
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
18
Modelling the heterogeneous effects of stocking rate on dairy production : an application of unconditional quantile regression with fixed effects
Ma, Wanglin
;
Renwick, Alan
;
Greig, Bruce
- In:
Applied economics
51
(
2019
)
43
,
pp. 4769-4780
Persistent link: https://www.econbiz.de/10012197071
Saved in:
19
A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios
;
Ladopoulos, Konstantinos
; …
- In:
Applied economics
50
(
2018
)
34/35
,
pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
Saved in:
20
Trading by estimating the quantized forward distribution
Ceffer, Attila
;
Fogarasi, Norbert
;
Levendovszky, Janos
- In:
Applied economics
50
(
2018
)
59
,
pp. 6397-6405
Persistent link: https://www.econbiz.de/10012063433
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