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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"ARCH model"
~subject:"Estimation"
~subject:"Marktmikrostruktur"
~subject:"Statistischer Test"
~subject:"Stochastischer Prozess"
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Volatility
ARCH model
Estimation
Marktmikrostruktur
Statistischer Test
Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Schätzung
15
ARCH-Modell
11
Market microstructure
10
Capital income
9
Kapitaleinkommen
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Risikomaß
9
Risk measure
9
Theorie
9
Theory
9
Correlation
7
Forecasting model
7
Korrelation
7
Prognoseverfahren
7
Regression analysis
7
Regressionsanalyse
7
Stochastic process
7
Börsenkurs
6
Share price
6
Analysis of variance
5
Noise Trading
5
Noise trading
5
Statistical test
5
Varianzanalyse
5
CAPM
4
Multivariate Analyse
4
Multivariate analysis
4
Portfolio selection
4
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35
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36
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36
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1
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1
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1
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English
36
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Audrino, Francesco
2
Chen, Yi-ting
2
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Bu, Ruijun
1
Caldeira, João F.
1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Christoffersen, Peter F.
1
Conrad, Christian A.
1
Di, Jianing
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Feng, Dingan
1
Frederiksen, Per
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Giet, Ludovic
1
Gérard, Bruno
1
Haag, Berthold R.
1
Hadri, Kaddour
1
Hassler, Uwe
1
Herwartz, Helmut
1
Hsieh, Chih-sheng
1
Hurn, Stan
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Jeisman, J. I.
1
Jiang, George J.
1
Kadareja, Arjan
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
453
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
201
Economics letters
183
Econometric reviews
134
Econometric theory
119
CEMMAP working papers / Centre for Microdata Methods and Practice
90
Discussion paper / Tinbergen Institute
81
The econometrics journal
79
Economic modelling
76
Applied economics letters
75
Discussion paper series / IZA
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
62
NBER Working Paper
62
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Applied economics
56
CREATES research paper
56
NBER working paper series
53
Cowles Foundation discussion paper
51
Quantitative economics : QE ; journal of the Econometric Society
51
Working paper / Department of Econometrics and Business Statistics, Monash University
51
Working paper
50
Journal of applied econometrics
49
Econometrics : open access journal
48
Journal of empirical finance
43
Journal of the American Statistical Association : JASA
43
International journal of forecasting
42
Journal of banking & finance
42
Discussion paper
41
Working paper / National Bureau of Economic Research, Inc.
40
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Computational economics
37
Journal of forecasting
37
CESifo working papers
36
IZA Discussion Paper
36
European journal of operational research : EJOR
35
Journal of financial econometrics
35
SFB 649 discussion paper
35
Discussion papers of interdisciplinary research project 373
34
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1
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
4
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
5
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
8
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
9
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
10
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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