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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:"Quantitative finance"
~isPartOf:"The econometrics journal"
~subject:"Autokorrelation"
~subject:"Capital income"
~subject:"Correlation"
~subject:"Statistische Verteilung"
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Volatility
Autokorrelation
Capital income
Correlation
Statistische Verteilung
Estimation theory
462
Schätztheorie
462
Theorie
123
Theory
123
Nichtparametrisches Verfahren
96
Nonparametric statistics
96
Time series analysis
84
Zeitreihenanalyse
84
Regression analysis
82
Regressionsanalyse
82
Estimation
67
Schätzung
67
Statistical test
51
Statistischer Test
51
Volatilität
48
Panel
41
Panel study
41
Stochastic process
32
Stochastischer Prozess
32
Forecasting model
28
Prognoseverfahren
28
Statistical distribution
28
ARCH model
27
ARCH-Modell
27
Modellierung
23
Scientific modelling
23
Autocorrelation
21
Bootstrap approach
20
Bootstrap-Verfahren
20
Monte Carlo simulation
20
Monte-Carlo-Simulation
20
Induktive Statistik
19
Kapitaleinkommen
19
Statistical inference
19
Cointegration
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English
113
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Härdle, Wolfgang
4
Spokojnyj, Vladimir G.
4
Chen, Yi-ting
3
Butucea, Cristina
2
Corsi, Fulvio
2
Fabozzi, Frank J.
2
Fan, Jianqing
2
Herwartz, Helmut
2
Kim, Woocheol
2
Lee, Lung-fei
2
Läuter, Henning
2
Sun, Yixiao
2
Wu, Ximing
2
Zou, Guohua
2
Abadir, Karim Maher
1
Aboutaleb, Youssef M.
1
Adams, Christopher P.
1
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Audrino, Francesco
1
Bai, Jushan
1
Baillie, Richard
1
Baltagi, Badi H.
1
Balter, Janine
1
Bao, Yong
1
Bayer, Christian
1
Behrendt, Simon
1
Ben-Akiva, Moshe Emanuel
1
Bianchi, Michele Leonardo
1
Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Breneis, Simon
1
Buccheri, G.
1
Bunke, Olaf
1
Caldeira, João F.
1
Calzolari, Giorgio
1
Canabarro, Askery
1
Cang, Yuquan
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
Quantitative finance
The econometrics journal
Journal of econometrics
290
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
120
Economics letters
107
Econometric theory
79
Econometric reviews
77
Discussion paper / Tinbergen Institute
61
Insurance / Mathematics & economics
47
Journal of empirical finance
46
Journal of the American Statistical Association : JASA
37
Econometrics : open access journal
34
Finance research letters
34
CEMMAP working papers / Centre for Microdata Methods and Practice
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
30
International journal of forecasting
29
Applied economics letters
28
Cambridge working papers in economics
28
Journal of financial econometrics
28
NBER Working Paper
28
CREATES research paper
27
Cowles Foundation discussion paper
27
Statistics in transition : an international journal of the Polish Statistical Association
27
Economic modelling
26
Journal of banking & finance
26
Journal of forecasting
26
Discussion paper / Center for Economic Research, Tilburg University
25
Computational economics
23
Journal of risk and financial management : JRFM
23
SFB 649 discussion paper
23
Discussion papers of interdisciplinary research project 373
21
European journal of operational research : EJOR
21
Working paper / Department of Econometrics and Business Statistics, Monash University
21
Working paper
20
CESifo working papers
19
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Applied economics
18
Journal of mathematical finance
18
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ECONIS (ZBW)
113
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
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:
3
Distributional robustness of K-class estimators and the PULSE
Jakobsen, Martin Emil
;
Peters, Jonas
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 404-432
Persistent link: https://www.econbiz.de/10013253842
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
Estimation of large covariance matrices with mixed factor structures
Dai, Runyu
;
Uematsu, Yoshimasa
;
Matsuda, Yasumasa
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 62-83
Persistent link: https://www.econbiz.de/10014528099
Saved in:
7
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:
8
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
Saved in:
9
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
10
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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