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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk"
~subject:"Correlation"
~subject:"Risikomaß"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Risikomaß
Stochastic process
Estimation theory
229
Schätztheorie
229
Forecasting model
84
Prognoseverfahren
84
Time series analysis
80
Zeitreihenanalyse
80
Theorie
54
Theory
54
Estimation
46
Schätzung
46
ARCH model
34
ARCH-Modell
34
Risk measure
34
Volatilität
31
Regression analysis
25
Regressionsanalyse
25
Capital income
23
Kapitaleinkommen
23
Portfolio selection
19
Portfolio-Management
19
Börsenkurs
15
Share price
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Korrelation
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Statistical distribution
14
Statistische Verteilung
14
Nichtparametrisches Verfahren
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Nonparametric statistics
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Stochastischer Prozess
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USA
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United States
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11
Marktmikrostruktur
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English
79
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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
Ahlgren, Niklas
1
Ai, Chunrong
1
Ally, Abdallah K.
1
An, Yang
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
Balakrishna, N.
1
Baltagi, Badi H.
1
Balter, Janine
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
Bu, Ruijun
1
Butler, Andrew
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Caro-Lopera, Francisco J.
1
Carrasco, Marine
1
Chan, Ngai Hang
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of forecasting
Journal of risk
Journal of econometrics
191
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
86
Economics letters
61
Discussion paper / Tinbergen Institute
49
Econometric reviews
40
Econometric theory
37
Insurance / Mathematics & economics
34
Finance research letters
29
Journal of empirical finance
29
CREATES research paper
28
Journal of banking & finance
28
Economic modelling
27
SFB 649 discussion paper
27
Econometrics : open access journal
26
Journal of financial econometrics
26
The econometrics journal
26
Journal of the American Statistical Association : JASA
24
Quantitative finance
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
International journal of forecasting
23
Computational economics
22
Cambridge working papers in economics
20
European journal of operational research : EJOR
19
Cowles Foundation discussion paper
18
International journal of theoretical and applied finance
18
NBER Working Paper
18
Applied economics letters
17
Journal of risk and financial management : JRFM
16
Risks : open access journal
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Working paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Journal of mathematical finance
14
Operations research
14
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
The North American journal of economics and finance : a journal of financial economics studies
14
Working paper / National Bureau of Economic Research, Inc.
14
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79
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1
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
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
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:
6
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:
7
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
Saved in:
8
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:
9
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
10
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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