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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:"Estimation"
~subject:"Statistische Verteilung"
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Volatility
Autokorrelation
Capital income
Estimation
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
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
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Bootstrap-Verfahren
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20
Monte-Carlo-Simulation
20
Induktive Statistik
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Kapitaleinkommen
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Statistical inference
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English
138
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Härdle, Wolfgang
5
Spokojnyj, Vladimir G.
4
Yang, Lijian
4
Chen, Yi-ting
3
Audrino, Francesco
2
Baltagi, Badi H.
2
Breitung, Jörg
2
Butucea, Cristina
2
Corsi, Fulvio
2
Fabozzi, Frank J.
2
Fan, Jianqing
2
Herwartz, Helmut
2
Kao, Chihwa
2
Kim, Woocheol
2
Lee, Lung-fei
2
Läuter, Henning
2
Park, Byeong U.
2
Sun, Yixiao
2
Wu, Ximing
2
Abadir, Karim Maher
1
Achab, Massil
1
Adams, Christopher P.
1
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Bacry, E.
1
Baillie, Richard
1
Balter, Janine
1
Bao, Yong
1
Bayer, Christian
1
Behrendt, Simon
1
Benkwitz, Alexander
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Bianchi, Michele Leonardo
1
Blevins, Jason R.
1
Bormann, Carsten
1
Bos, Charles S.
1
Breneis, Simon
1
Breunig, Christoph
1
Bu, Ruijun
1
Buccheri, G.
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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
412
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
187
Economics letters
177
Econometric reviews
111
Econometric theory
91
Discussion paper / Tinbergen Institute
81
CEMMAP working papers / Centre for Microdata Methods and Practice
71
Applied economics letters
67
Discussion paper series / IZA
66
Economic modelling
65
NBER Working Paper
64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
61
NBER working paper series
55
Insurance / Mathematics & economics
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Applied economics
50
Journal of empirical finance
48
Working paper / Department of Econometrics and Business Statistics, Monash University
46
Journal of the American Statistical Association : JASA
45
Econometrics : open access journal
43
Journal of banking & finance
43
International journal of forecasting
42
Working paper
42
Working paper / National Bureau of Economic Research, Inc.
42
CESifo working papers
41
Journal of applied econometrics
41
European journal of operational research : EJOR
37
IZA Discussion Paper
37
Journal of forecasting
36
CREATES research paper
35
Finance research letters
35
Quantitative economics : QE ; journal of the Econometric Society
35
Computational economics
34
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
34
Discussion paper
32
Discussion papers / CEPR
32
Discussion paper / Center for Economic Research, Tilburg University
31
Discussion papers of interdisciplinary research project 373
30
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ECONIS (ZBW)
138
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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
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
Testing for quantile sample selection
Corradi, Valentina
;
Gutknecht, Daniel
- In:
The econometrics journal
26
(
2023
)
2
,
pp. 147-173
Persistent link: https://www.econbiz.de/10014319284
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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