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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CBN journal of applied statistics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Quantitative finance"
~subject:"Statistical test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Estimation theory
811
Schätztheorie
811
Theorie
290
Theory
290
Time series analysis
193
Zeitreihenanalyse
193
Estimation
172
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172
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148
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Härdle, Wolfgang
6
Spokojnyj, Vladimir G.
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Chen, Yi-ting
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Francq, Christian
2
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Mykland, Per A.
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Nolte, Ingmar
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Peng, Liang
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Teyssière, Gilles
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Tjostheim, Dag
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Bai, Yuehao
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Balter, Janine
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CBN journal of applied statistics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Quantitative finance
Journal of econometrics
258
Econometric reviews
76
Economics letters
67
Econometric theory
56
CEMMAP working papers / Centre for Microdata Methods and Practice
48
The econometrics journal
45
Discussion paper / Tinbergen Institute
40
Cowles Foundation discussion paper
33
Economic modelling
31
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
27
CREATES research paper
26
Econometrics : open access journal
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Cowles Foundation Discussion Paper
25
Journal of empirical finance
24
Journal of financial econometrics
22
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
Quantitative economics : QE ; journal of the Econometric Society
20
International journal of forecasting
19
Applied economics letters
18
Journal of banking & finance
17
Cambridge working papers in economics
15
Discussion paper / Center for Economic Research, Tilburg University
15
Finance research letters
15
SFB 649 discussion paper
15
Working paper
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Discussion papers of interdisciplinary research project 373
14
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
Discussion paper
13
International journal of theoretical and applied finance
13
Journal of time series econometrics
13
NBER Working Paper
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CEMFI working paper
12
Computational economics
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ECONIS (ZBW)
140
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1
Combining p-values for multivariate predictive ability testing
Spreng, Lars
;
Urga, Giovanni
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 765-777
Persistent link: https://www.econbiz.de/10014448433
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2
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
3
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
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4
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
5
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:
6
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:
7
Likelihood ratio tests for lorenz dominance
Chang, Shen-Da
;
Cheng, Philip E.
;
Liou, Michelle
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 64-75
Persistent link: https://www.econbiz.de/10014449827
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8
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
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9
Identification-robust inference with simulation-based pseudo-matching
Antoine, Bertille
;
Khalaf, Lynda
;
Kichian, Maral
;
Lin, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 321-338
Persistent link: https://www.econbiz.de/10014448156
Saved in:
10
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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