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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Capital income"
~subject:"Multivariate analysis"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Capital income
Multivariate analysis
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
ARCH-Modell
11
Market microstructure
10
Marktmikrostruktur
10
Kapitaleinkommen
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Risikomaß
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Risk measure
9
Theorie
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Theory
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Correlation
7
Forecasting model
7
Korrelation
7
Prognoseverfahren
7
Regression analysis
7
Regressionsanalyse
7
Stochastic process
7
Stochastischer Prozess
7
Börsenkurs
6
Share price
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Analysis of variance
5
Noise Trading
5
Noise trading
5
Statistical test
5
Statistischer Test
5
Varianzanalyse
5
CAPM
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4
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24
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Aufsatz in Zeitschrift
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24
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English
24
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Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Jiaqin
1
Corsi, Fulvio
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Galbraith, John W.
1
Ghysels, Eric
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Kokoszka, Piotr
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Li, Yingying
1
Lv, Jinchi
1
Miao, Hong
1
Mira, Antonietta
1
Moon, Seongman
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
1
Nogales, Francisco J.
1
Peluso, Stefano
1
Reimherr, Matthew
1
Rodrigues, Paulo M. M.
1
Rubia, Antonio
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
153
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
Journal of empirical finance
34
Economics letters
33
Econometric reviews
27
Finance research letters
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Econometric theory
20
Journal of forecasting
19
Journal of the American Statistical Association : JASA
19
Economic modelling
18
Journal of banking & finance
18
Quantitative finance
18
International journal of forecasting
16
Journal of financial econometrics
16
Journal of risk and financial management : JRFM
16
The econometrics journal
16
Econometrics : open access journal
15
International journal of theoretical and applied finance
15
The European journal of finance
13
Journal of financial economics
12
The North American journal of economics and finance : a journal of financial economics studies
12
Computational economics
11
International journal of economics and financial issues : IJEFI
11
Journal of mathematical finance
11
Insurance / Mathematics & economics
10
The review of financial studies
10
European journal of operational research : EJOR
9
Journal of risk
9
Applied economics
8
Applied economics letters
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of financial engineering
8
Journal of financial and quantitative analysis : JFQA
8
Risks : open access journal
8
The journal of finance : the journal of the American Finance Association
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Financial markets and portfolio management
7
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ECONIS (ZBW)
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1
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
2
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:
3
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:
4
Efficient portfolio selection in a large market
Chen, Jiaqin
;
Yuan, Ming
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 496-524
Persistent link: https://www.econbiz.de/10011623668
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
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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