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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:"Noise Trading"
~subject:"Nonparametric statistics"
~subject:"Regressionsanalyse"
~subject:"Stochastic process"
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Volatility
Noise Trading
Nonparametric statistics
Regressionsanalyse
Stochastic process
Estimation theory
176
Schätztheorie
176
Time series analysis
70
Zeitreihenanalyse
70
Estimation
48
Schätzung
48
Volatilität
33
ARCH model
28
ARCH-Modell
28
Regression analysis
21
Nichtparametrisches Verfahren
19
Capital income
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Kapitaleinkommen
18
Statistical test
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Statistischer Test
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Stochastischer Prozess
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Cointegration
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Prognoseverfahren
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Theorie
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10
Market microstructure
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10
Markov-Kette
10
Marktmikrostruktur
10
Maximum likelihood estimation
9
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75
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Bu, Ruijun
2
Hadri, Kaddour
2
Härdle, Wolfgang
2
Li, Jing
2
Abbara, Omar
1
Ahn, Seung Chan
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Atems, Bebonchu
1
Balter, Janine
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Banerjee, Anurag Narayan
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Baruník, Jozef
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1
Birke, Melanie
1
Blazsek, Szabolcs
1
Bos, Charles S.
1
Boudt, Kris
1
Caldeira, João F.
1
Carrasco, Marine
1
Chan, Jennifer So Kuen
1
Chen, Haiqiang
1
Cheng, Jie
1
Chevallier, Julien
1
Chong, Terence Tai-Leung
1
Chu, Ba
1
Chuffart, Thomas
1
Croux, Christophe
1
Dagum, Estela Bee
1
Daníelsson, Jón
1
De Angelis, Luca
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Denuit, Michel
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Di, Jianing
1
Donayre, Luiggi
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Enders, Walter
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Eo, Yunjong
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Fan, Jianqing
1
Fan, Yingying
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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
599
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
202
Economics letters
187
Econometric theory
185
CEMMAP working papers / Centre for Microdata Methods and Practice
180
Journal of the American Statistical Association : JASA
145
Econometric reviews
144
The econometrics journal
111
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
98
Discussion paper / Tinbergen Institute
87
Discussion papers of interdisciplinary research project 373
78
Cowles Foundation discussion paper
74
Discussion paper series / IZA
64
European journal of operational research : EJOR
58
Economic modelling
56
NBER Working Paper
55
Working paper / Department of Econometrics and Business Statistics, Monash University
54
Quantitative economics : QE ; journal of the Econometric Society
53
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
52
CREATES research paper
50
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
50
SFB 649 discussion paper
50
Econometrics : open access journal
49
Cowles Foundation Discussion Paper
48
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
47
NBER working paper series
47
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
43
International journal of forecasting
43
Insurance / Mathematics & economics
41
Econometrics papers
40
Série des documents de travail / Centre de Recherche en Économie et Statistique
39
Discussion paper / Center for Economic Research, Tilburg University
38
Journal of risk and financial management : JRFM
37
Working papers / TSE : WP
37
Computational economics
36
KBI
36
IZA Discussion Paper
35
Working paper
35
Journal of applied econometrics
33
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75
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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
Time-specific average estimation of dynamic panel regressions
Chu, Ba
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
Saved in:
5
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:
6
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
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
Regression discontinuity designs with unknown state-dependent discontinuity points : estimation and testing
Yang, Lixiong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012054886
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