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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Computational economics"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk"
~subject:"Correlation"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Risikomaß
Estimation theory
337
Schätztheorie
337
Time series analysis
111
Zeitreihenanalyse
111
Forecasting model
92
Prognoseverfahren
92
Estimation
65
Schätzung
64
Theorie
56
Theory
56
Regression analysis
45
Regressionsanalyse
45
ARCH model
40
ARCH-Modell
40
Risk measure
40
Volatilität
37
Monte Carlo simulation
31
Monte-Carlo-Simulation
31
Capital income
28
Kapitaleinkommen
28
Nichtparametrisches Verfahren
26
Nonparametric statistics
26
Portfolio selection
25
Portfolio-Management
25
Statistical distribution
22
Statistische Verteilung
22
Stochastic process
22
Stochastischer Prozess
22
Korrelation
19
Bayes-Statistik
18
Bayesian inference
18
Bootstrap approach
17
Bootstrap-Verfahren
17
Börsenkurs
17
Maximum likelihood estimation
17
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Taylor, James W.
3
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Martin, R. Douglas
2
Yu, Keming
2
Zakoïan, Jean-Michel
2
Abad, Pilar
1
Abraham, Bovas
1
Afuecheta, Emmanuel
1
Ahlgren, Niklas
1
Ai, Chunrong
1
Ally, Abdallah K.
1
Aloy, Marcel
1
Alvarez, Susana
1
Andreou, Alena
1
Antell, Jan
1
Ardia, David
1
Arias-Sema, María A.
1
Arora, Rohit
1
Arunachalam, Viswanathan
1
Audrino, Francesco
1
Auer, Benjamin R.
1
Baixauli, J. Samuel
1
Balakrishna, N.
1
Baltagi, Badi H.
1
Balter, Janine
1
Bartolucci, Francesco
1
Baysal, Rafet Evren
1
Belhad, Ahmed
1
Ben-Zion, Uri
1
Benito Muela, Sonia
1
Berens, Tobias
1
Blanco-Fernández, Ángela
1
Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Butler, Andrew
1
Cagnone, Silvia
1
Caldeira, João F.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Journal of forecasting
Journal of risk
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
Economics letters
50
Discussion paper / Tinbergen Institute
39
Econometric reviews
31
Journal of empirical finance
28
Econometric theory
27
Insurance / Mathematics & economics
26
Journal of banking & finance
26
Finance research letters
25
Journal of financial econometrics
24
Quantitative finance
23
SFB 649 discussion paper
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
The econometrics journal
21
Cambridge working papers in economics
20
International journal of forecasting
20
Journal of the American Statistical Association : JASA
20
Econometrics : open access journal
19
CREATES research paper
17
Economic modelling
17
International journal of theoretical and applied finance
17
NBER Working Paper
16
Applied economics letters
14
Journal of risk and financial management : JRFM
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
13
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of risk model validation
13
Applied economics
12
Risks : open access journal
12
Working paper / National Bureau of Economic Research, Inc.
12
Working papers
12
European journal of operational research : EJOR
11
Journal of mathematical finance
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Working paper
11
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ECONIS (ZBW)
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1
Portfolio selection based on emd denoising with correlation coefficient test criterion
Su, Kuangxi
;
Yao, Yinhong
;
Zheng, Chengli
;
Xie, Wenzhao
- In:
Computational economics
63
(
2024
)
1
,
pp. 391-421
Persistent link: https://www.econbiz.de/10014472254
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
4
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
5
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
6
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
7
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
8
Generalized, partial and canonical correlation coefficients
Vinod, Hrishikesh D.
- In:
Computational economics
60
(
2022
)
4
,
pp. 1479-1506
Persistent link: https://www.econbiz.de/10013447451
Saved in:
9
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
10
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
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