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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~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
331
Schätztheorie
331
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110
Theory
110
Time series analysis
106
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106
Estimation
57
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Härdle, Wolfgang
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Spokojnyj, Vladimir G.
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Teräsvirta, Timo
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Silvennoinen, Annastiina
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Butucea, Cristina
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Herwartz, Helmut
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Kristensen, Dennis
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Wang, Mu-Chun
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Amado, Cristina
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Creel, Michael D.
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Demetrescu, Matei
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
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
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
Applied economics
13
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
13
Journal of risk
12
NBER Working Paper
12
Statistical papers
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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:
2
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
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:
5
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:
6
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:
7
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
8
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
9
Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos
;
Posch, Olaf
;
Wang, Mu-Chun
-
2020
Persistent link: https://www.econbiz.de/10012317765
Saved in:
10
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
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