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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Correlation"
~subject:"Forecasting model"
~subject:"Nonparametric statistics"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Forecasting model
Nonparametric statistics
Estimation theory
286
Schätztheorie
286
Time series analysis
98
Zeitreihenanalyse
98
Estimation
72
Schätzung
72
Nichtparametrisches Verfahren
52
Prognoseverfahren
35
Regression analysis
35
Regressionsanalyse
35
Volatilität
34
Panel
26
Panel study
26
Bayes-Statistik
25
Bayesian inference
25
Statistical test
25
Statistischer Test
25
Theorie
25
Theory
25
ARCH model
22
ARCH-Modell
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Korrelation
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Kapitaleinkommen
19
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Risikomaß
16
Risk measure
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Share price
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Stochastic process
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Stochastischer Prozess
16
Cointegration
15
Kointegration
15
Statistical distribution
14
Statistische Verteilung
14
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13
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122
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Gao, Jiti
31
Hyndman, Rob J.
9
Zhang, Xibin
8
Cheng, Tingting
6
Peng, Bin
6
Frazier, David T.
5
Gong, Xiaodong
5
Linton, Oliver
5
Koo, Bonsoo
4
Yan, Yayi
4
Athanasopoulos, George
3
Jiang, Bin
3
King, Maxwell L.
3
Martin, Gael M.
3
Poskitt, Donald Stephen
3
Sancetta, Alessio
3
Silvapulle, Mervyn J.
3
Vahid, Farshid
3
Yang, Yanrong
3
Zhang, Lina
3
Zhao, Xueyan
3
Audrino, Francesco
2
Corsi, Fulvio
2
Ferreira, Eva
2
Francq, Christian
2
Harris, David
2
Hong, Han
2
Horváth, Lajos
2
Härdle, Wolfgang
2
Kew, Hsein
2
Li, Degui
2
Liang, Xuan
2
Liu, Fei
2
Maneesoonthorn, Worapree
2
Panagiotelis, Anastasios
2
Phillips, Peter C. B.
2
Ranasinghe, Kulan
2
Shang, Han Lin
2
Silvapulle, Paramsothy
2
Zakoïan, Jean-Michel
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
499
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
197
Economics letters
142
Econometric theory
134
CEMMAP working papers / Centre for Microdata Methods and Practice
129
International journal of forecasting
120
Econometric reviews
117
Journal of the American Statistical Association : JASA
98
The econometrics journal
85
Journal of forecasting
77
Discussion paper / Tinbergen Institute
74
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
63
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
49
Discussion papers of interdisciplinary research project 373
48
SFB 649 discussion paper
46
Discussion paper series / IZA
45
Cowles Foundation discussion paper
44
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
41
CREATES research paper
40
European journal of operational research : EJOR
39
Journal of empirical finance
39
Quantitative economics : QE ; journal of the Econometric Society
38
Econometrics : open access journal
36
Economic modelling
36
NBER Working Paper
36
NBER working paper series
34
Applied economics letters
32
Cambridge working papers in economics
32
Econometrics papers
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Working paper
32
Cowles Foundation Discussion Paper
31
Computational economics
30
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
30
Journal of applied econometrics
29
Journal of banking & finance
28
Série des documents de travail / Centre de Recherche en Économie et Statistique
28
Finance research letters
27
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ECONIS (ZBW)
122
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1
Estimation of semiparametric multi- index models using deep neural networks
Donga, Chaohua
;
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
-
2023
Persistent link: https://www.econbiz.de/10014452599
Saved in:
2
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
3
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
4
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
5
Nonparametric estimation and testing for time-varying VAR models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
-
2022
Persistent link: https://www.econbiz.de/10013494327
Saved in:
6
Semiparametric single-index estimation for average treatment effects
Huang, Difang
;
Gao, Jiti
;
Oka, Tatsushi
-
2022
Persistent link: https://www.econbiz.de/10013494395
Saved in:
7
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
8
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
9
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
10
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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