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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Econometric theory"
~subject:"ARCH model"
~subject:"Statistical test"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
Statistical test
Stochastischer Prozess
Estimation theory
882
Schätztheorie
882
Theorie
377
Theory
377
Time series analysis
196
Zeitreihenanalyse
196
Nichtparametrisches Verfahren
137
Nonparametric statistics
137
Regression analysis
117
Regressionsanalyse
117
Statistischer Test
55
Estimation
54
Schätzung
54
ARCH-Modell
47
Volatilität
36
Autocorrelation
35
Autokorrelation
35
Statistical distribution
33
Statistische Verteilung
33
Stochastic process
32
Cointegration
29
Kointegration
29
Method of moments
27
Momentenmethode
27
Statistical theory
26
Statistische Methodenlehre
26
Panel
24
Panel study
24
Induktive Statistik
23
Statistical inference
23
Einheitswurzeltest
22
Unit root test
22
Correlation
19
Korrelation
19
Forecasting model
18
Prognoseverfahren
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130
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English
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Härdle, Wolfgang
6
Linton, Oliver
6
Spokojnyj, Vladimir G.
6
Francq, Christian
5
Horváth, Lajos
5
Chan, Ngai Hang
4
Küchler, Uwe
4
Zakoïan, Jean-Michel
4
Guggenberger, Patrik
3
Kokoszka, Piotr
3
Kristensen, Dennis
3
Yang, Lijian
3
Zhang, Rongmao
3
Berkes, István
2
Chen, Yi-ting
2
Duffy, James A.
2
Ghysels, Eric
2
Herwartz, Helmut
2
Hidalgo, Javier
2
Jansson, Michael
2
Kanaya, Shin
2
Leybourne, Stephen James
2
Li, Deyuan
2
Li, Jia
2
Läuter, Henning
2
Pelletier, Denis
2
Peng, Liang
2
Phillips, Peter C. B.
2
Rahbek, Anders
2
Saikkonen, Pentti
2
Teyssière, Gilles
2
Vasiliev, Vjatscheslav A.
2
Velasco, Carlos
2
Whang, Yoon-jae
2
Zaffaroni, Paolo
2
Zheng, John Xu
2
Anderson, Theodore W.
1
Andreou, Alena
1
Andrews, Beth
1
Andrews, Donald W. K.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Econometric theory
Journal of econometrics
298
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
102
Econometric reviews
91
Economics letters
88
Discussion paper / Tinbergen Institute
60
The econometrics journal
57
CEMMAP working papers / Centre for Microdata Methods and Practice
49
CREATES research paper
45
Cowles Foundation discussion paper
44
Economic modelling
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
Econometrics : open access journal
32
Journal of empirical finance
32
Cowles Foundation Discussion Paper
29
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
29
Journal of financial econometrics
28
Applied economics letters
26
International journal of forecasting
26
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
25
Quantitative economics : QE ; journal of the Econometric Society
25
Finance research letters
24
Journal of forecasting
24
SFB 649 discussion paper
24
Discussion papers of interdisciplinary research project 373
23
Journal of banking & finance
23
Série des documents de travail / Centre de Recherche en Économie et Statistique
22
Computational economics
21
Journal of time series econometrics
21
Journal of the American Statistical Association : JASA
20
Working paper
20
Discussion paper / Center for Economic Research, Tilburg University
19
European journal of operational research : EJOR
19
Applied economics
18
Journal of risk and financial management : JRFM
18
Quantitative finance
18
Working paper / Department of Econometrics and Business Statistics, Monash University
18
NBER Working Paper
17
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ECONIS (ZBW)
153
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1
Consistent specification testing under spatial dependence
Gupta, Abhimanyu
;
Qu, Xi
- In:
Econometric theory
40
(
2024
)
2
,
pp. 278-319
Persistent link: https://www.econbiz.de/10014485243
Saved in:
2
Backward CUSUM for testing and monitoring structural change with an application to COVID-19 pandemic data
Otto, Sven
;
Breitung, Jörg
- In:
Econometric theory
39
(
2023
)
4
,
pp. 659-692
Persistent link: https://www.econbiz.de/10014342231
Saved in:
3
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
4
Test for zero median of errors in an ARMA-GARCH model
Ma, Yaolan
;
Zhou, Mohan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
38
(
2022
)
3
,
pp. 536-561
Persistent link: https://www.econbiz.de/10013269973
Saved in:
5
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
6
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
7
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
8
Weak-identification robust wild bootstrap applied to a consistent model specification test
Hill, Jonathan B.
- In:
Econometric theory
37
(
2021
)
3
,
pp. 409-463
Persistent link: https://www.econbiz.de/10012593442
Saved in:
9
Efficient two-step generalized empirical likelihood estimation and tests with martingale differences
Jin, Fei
;
Lee, Lung-fei
- In:
Econometric theory
37
(
2021
)
3
,
pp. 573-612
Persistent link: https://www.econbiz.de/10012593449
Saved in:
10
Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
Duffy, James A.
- In:
Econometric theory
36
(
2020
)
4
,
pp. 559-582
Persistent link: https://www.econbiz.de/10012258405
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