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person:"Marcellino, Massimiliano"
subject:"Prognoseverfahren"
~isPartOf:"Documents de travail / Banque de France"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~person:"Eickmeier, Sandra"
~person:"Ghysels, Eric"
~person:"Todorov, Viktor"
~subject:"Börsenkurs"
~subject:"Coronavirus"
~subject:"Factor analysis"
~subject:"Monetary policy"
~subject:"Nonlinear regression"
~subject:"Shock"
~subject:"Theory"
~subject:"Wirtschaftswachstum"
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Prognoseverfahren
Börsenkurs
Coronavirus
Factor analysis
Monetary policy
Nonlinear regression
Shock
Theory
Wirtschaftswachstum
Estimation
38
Schätzung
38
Volatility
19
Volatilität
19
Theorie
15
Time series analysis
14
Zeitreihenanalyse
14
Forecasting model
12
Capital income
11
Estimation theory
11
Kapitaleinkommen
11
Schätztheorie
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Stochastic process
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Stochastischer Prozess
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Share price
9
Faktorenanalyse
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High-frequency data
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Nichtparametrisches Verfahren
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Nonparametric statistics
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CAPM
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Regression analysis
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Regressionsanalyse
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USA
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United States
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Frühindikator
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Leading indicator
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Option pricing theory
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Optionspreistheorie
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Stochastic volatility
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EU countries
4
EU-Staaten
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Euro area
4
Eurozone
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Martingal
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Martingale
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Schock
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English
30
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Marcellino, Massimiliano
Eickmeier, Sandra
Ghysels, Eric
Todorov, Viktor
Pesaran, M. Hashem
12
Koop, Gary
10
Tauchen, George Eugene
9
Bollerslev, Tim
7
Li, Jia
7
Su, Liangjun
7
Kim, Donggyu
6
Lucas, André
6
Phillips, Peter C. B.
6
Ravazzolo, Francesco
6
Steel, Mark F. J.
6
Andersen, Torben
5
Koopman, Siem Jan
5
Li, Kunpeng
5
Aït-Sahalia, Yacine
4
Barigozzi, Matteo
4
Clark, Todd E.
4
Franses, Philip Hans
4
Gao, Jiti
4
Haldrup, Niels
4
Liesenfeld, Roman
4
Nielsen, Morten Ørregaard
4
Wang, Yazhen
4
Xiu, Dacheng
4
Baltagi, Badi H.
3
Blundell, Richard W.
3
Carriero, Andrea
3
Casarin, Roberto
3
Chan, Joshua
3
Demetrescu, Matei
3
Diebold, Francis X.
3
Doppelhofer, Gernot
3
Fan, Jianqing
3
Ferrara, Laurent
3
Fleissig, Adrian R.
3
Forbes, Catherine Scipione
3
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Documents de travail / Banque de France
Journal of applied econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Discussion paper / Centre for Economic Policy Research
24
Discussion paper / Deutsche Bundesbank
15
Bundesbank Series 1 Discussion Paper
8
Discussion papers / CEPR
8
Working papers / Innocenzo Gasparini Institute for Economic Research
8
Discussion paper
6
CREATES research paper
4
Journal of financial economics
4
ERID working paper
3
Federal Reserve Bank of Cleveland working paper series
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Macroeconomic dynamics
3
NBER Working Paper
3
NBER working paper series
3
Oxford bulletin of economics and statistics
3
Quantitative economics : QE ; journal of the Econometric Society
3
Working paper / National Bureau of Economic Research, Inc.
3
Working paper series / Innocenzo Gasparini Institute for Economic Research
3
CAMA working paper series
2
CESifo working papers
2
CREATES Research Paper
2
ECB Working Paper
2
EUI working paper
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics letters
2
European economic review : EER
2
International journal of forecasting
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of money, credit and banking : JMCB
2
Research paper series / Swiss Finance Institute
2
SNB working papers
2
Temi di discussione / Banca d'Italia
2
The review of economics and statistics
2
Working paper series / European Central Bank
2
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Annales d'économie et de statistique
1
BAFFI CAREFIN Centre Research Paper
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Bundesbank Discussion Paper
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ECONIS (ZBW)
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1
Panel data nowcasting : the case of price-earnings ratios
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of applied econometrics
39
(
2024
)
2
,
pp. 292-307
Persistent link: https://www.econbiz.de/10014517329
Saved in:
2
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
3
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
4
Machine learning panel data regressions with heavy-tailed dependent data : theory and application
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471811
Saved in:
5
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
Saved in:
6
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
7
Nowcasting tail risk to economic activity at a weekly frequency
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 843-866
Persistent link: https://www.econbiz.de/10013464633
Saved in:
8
Macroeconomic forecasting in a multi-country context
Bai, Yu
;
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, …
- In:
Journal of applied econometrics
37
(
2022
)
6
,
pp. 1230-1255
Persistent link: https://www.econbiz.de/10013464673
Saved in:
9
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
10
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
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