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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH model"
~subject:"Noise Trading"
~subject:"Nonparametric statistics"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
Noise Trading
Nonparametric statistics
Stochastic process
Estimation theory
176
Schätztheorie
176
Time series analysis
70
Zeitreihenanalyse
70
Estimation
48
Schätzung
48
Volatilität
33
ARCH-Modell
28
Regression analysis
21
Regressionsanalyse
21
Nichtparametrisches Verfahren
19
Capital income
18
Kapitaleinkommen
18
Statistical test
16
Statistischer Test
16
Stochastischer Prozess
16
Cointegration
15
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Kointegration
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Prognoseverfahren
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Börsenkurs
12
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Theorie
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Theory
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10
Market microstructure
10
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10
Markov-Kette
10
Marktmikrostruktur
10
Maximum likelihood estimation
9
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9
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69
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Bu, Ruijun
2
Francq, Christian
2
Hadri, Kaddour
2
Horváth, Lajos
2
Härdle, Wolfgang
2
Iglesias, Emma M.
2
Li, Jing
2
Zakoïan, Jean-Michel
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Birke, Melanie
1
Blazsek, Szabolcs
1
Bos, Charles S.
1
Boudt, Kris
1
Caldeira, João F.
1
Carnero, M. Angeles
1
Carrasco, Marine
1
Chan, Jennifer So Kuen
1
Chen, Yi-ting
1
Cheng, Jie
1
Chevallier, Julien
1
Christoffersen, Peter F.
1
Chuffart, Thomas
1
Conrad, Christian A.
1
Croux, Christophe
1
Dagum, Estela Bee
1
Daníelsson, Jón
1
Denuit, Michel
1
Di, Jianing
1
Donfack, Morvan Nongni
1
Dufays, Arnaud
1
Enders, Walter
1
Engle, Robert F.
1
Escribano, Álvaro
1
Fan, Jianqing
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
450
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Econometric theory
154
Economics letters
125
CEMMAP working papers / Centre for Microdata Methods and Practice
124
Econometric reviews
117
Journal of the American Statistical Association : JASA
83
The econometrics journal
79
Discussion paper / Tinbergen Institute
74
Discussion papers of interdisciplinary research project 373
53
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
50
CREATES research paper
49
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
48
Working paper / Department of Econometrics and Business Statistics, Monash University
46
Cowles Foundation discussion paper
45
SFB 649 discussion paper
45
Quantitative economics : QE ; journal of the Econometric Society
42
Economic modelling
40
European journal of operational research : EJOR
38
Série des documents de travail / Centre de Recherche en Économie et Statistique
38
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
37
Discussion paper series / IZA
36
Econometrics : open access journal
32
Econometrics papers
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Journal of empirical finance
32
International journal of forecasting
31
Cowles Foundation Discussion Paper
30
Journal of risk and financial management : JRFM
27
NBER Working Paper
27
Computational economics
26
Applied economics letters
25
Journal of banking & finance
25
NBER working paper series
25
Working papers / TSE : WP
25
Boston College working papers in economics
24
Insurance / Mathematics & economics
24
Applied economics
23
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69
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
5
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
6
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
7
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
8
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
9
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
10
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
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