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person:"Croux, Christophe"
subject:"Volatility"
~person:"Gouriéroux, Christian"
~person:"Kumar, Dilip"
~person:"Mancino, Maria Elvira"
~person:"Nelson, Daniel B."
~subject:"Nichtparametrisches Verfahren"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Nichtparametrisches Verfahren
Estimation theory
74
Schätztheorie
74
Theorie
28
Theory
28
Volatilität
24
Time series analysis
23
Zeitreihenanalyse
23
Estimation
17
Schätzung
17
ARCH model
14
ARCH-Modell
14
Forecasting model
12
Prognoseverfahren
12
Capital income
9
Kapitaleinkommen
9
VAR model
8
VAR-Modell
8
Bias
6
Börsenkurs
6
Forecast evaluation
6
Nonparametric statistics
6
Outliers
6
Share price
6
Systematischer Fehler
6
Ausreißer
5
Schock
5
Shock
5
Volatility modeling
5
Statistical theory
4
Statistische Methodenlehre
4
Exchange rate
3
Identification
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Regression analysis
3
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3
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3
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3
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29
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Aufsatz in Zeitschrift
Article in journal
29
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17
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17
Graue Literatur
15
Non-commercial literature
15
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1
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1
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English
29
Author
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Croux, Christophe
Gouriéroux, Christian
Kumar, Dilip
Mancino, Maria Elvira
Nelson, Daniel B.
Linton, Oliver
37
Li, Qi
30
Su, Liangjun
21
Florens, Jean-Pierre
19
Gao, Jiti
19
Kumbhakar, Subal
18
Parmeter, Christopher F.
18
Chen, Songnian
17
Chen, Xiaohong
17
Racine, Jeffrey
17
Simar, Léopold
17
Cai, Zongwu
16
Sun, Yiguo
15
Li, Degui
14
Maheswaran, S.
14
Ullah, Aman
14
Escanciano, Juan Carlos
13
Horowitz, Joel
13
Tsionas, Efthymios G.
13
Henderson, Daniel J.
12
Phillips, Peter C. B.
12
Todorov, Viktor
12
Fan, Jianqing
11
Hoderlein, Stefan
11
Lewbel, Arthur
11
Li, Jia
11
White, Halbert
11
Otsu, Taisuke
10
Tauchen, George Eugene
10
Van Keilegom, Ingrid
10
Yao, Feng
10
Breunig, Christoph
9
Kristensen, Dennis
9
Mammen, Enno
9
Newey, Whitney K.
9
Robinson, Peter M.
9
Xiao, Zhijie
9
Zhang, Xibin
9
Ai, Chunrong
8
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Economic modelling
4
Journal of econometrics
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance India : the quarterly journal of Indian Institute of Finance
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic interaction and coordination
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of quantitative economics
1
Macroeconomics and finance in emerging market economies
1
The journal of finance : the journal of the American Finance Association
1
The review of economic studies : RES
1
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ECONIS (ZBW)
29
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
Generalized covariance estimator
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1315-1327
Persistent link: https://www.econbiz.de/10014448640
Saved in:
3
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Saved in:
4
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
5
Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
The review of economic studies : RES
87
(
2020
)
4
,
pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
Saved in:
6
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
7
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
8
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
9
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
10
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
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