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source:"econis"
subject:"Kapitaleinkommen"
~isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~person:"Chang, Chia-Lin"
~person:"Kang, Sang Hoon"
~person:"Pelger, Markus"
~person:"Xiu, Dacheng"
~subject:"ARCH-Modell"
~subject:"Analysis of variance"
~subject:"Portfolio selection"
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Kapitaleinkommen
ARCH-Modell
Analysis of variance
Portfolio selection
Estimation
15
Schätzung
15
Volatility
10
Volatilität
10
Capital income
7
Portfolio-Management
7
Börsenkurs
6
Share price
6
Spillover effect
6
Spillover-Effekt
6
ARCH model
5
Hedging
5
Theorie
5
Theory
5
Time series analysis
4
Zeitreihenanalyse
4
Aktienmarkt
3
CAPM
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Factor analysis
3
Faktorenanalyse
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High-dimensional data
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Stock market
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Virtual currency
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Virtuelle Währung
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Aktienindex
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COVID-19
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Coronavirus
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Cryptocurrency
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Estimation theory
2
Factor model
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High-frequency data
2
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Oil price
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11
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Chang, Chia-Lin
Kang, Sang Hoon
Pelger, Markus
Xiu, Dacheng
Todorov, Viktor
8
Gupta, Rangan
7
Bollerslev, Tim
6
Zakoïan, Jean-Michel
5
Francq, Christian
4
Andersen, Torben
3
Dai, Zhifeng
3
Hau, Liya
3
Kim, Donggyu
3
McAleer, Michael
3
Paolella, Marc S.
3
Patton, Andrew J.
3
Rombouts, Jeroen V. K.
3
Tauchen, George Eugene
3
Ur Rehman, Mobeen
3
Yang, Chunpeng
3
Yoon, Seong-min
3
Zhou, Liyun
3
Zhu, Huiming
3
Andreou, Elena
2
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Bandi, Federico M.
2
Caporin, Massimiliano
2
Cho, Hoon
2
Dong, Xiyong
2
Fan, Jianqing
2
Hamori, Shigeyuki
2
Ji, Qiang
2
Jung, Hojin
2
Kim, Dong H.
2
Kim, Jong-Min
2
Kong, Xin-Bing
2
Li, Changhong
2
Li, Jia
2
Li, Yingying
2
Liu, Fang
2
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Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
Econometric Institute research papers
9
Working paper
5
International review of economics & finance : IREF
2
The Korean economic review
2
Applied economics
1
CEA_372Cass working paper series
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Energy economics
1
International journal of emerging markets
1
Pacific-Basin finance journal
1
Review of international economics
1
Risk management : an international journal
1
Risks : open access journal
1
Swiss Finance Institute Research Paper
1
The Japanese economic review : the journal of the Japanese Economic Association
1
The quarterly review of economics and finance
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
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1
Do cryptocurrencies provide better hedging? : Evidence from major equity markets during COVID-19 pandemic
Maitra, Debasish
;
Ur Rehman, Mobeen
;
Dash, Saumya Ranjan
; …
- In:
The North American journal of economics and finance : a …
62
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013539022
Saved in:
2
Estimating latent asset-pricing factors
Lettau, Martin
;
Pelger, Markus
- In:
Journal of econometrics
218
(
2020
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
Saved in:
3
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
4
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
5
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
6
Risk spillovers and portfolio management between developed and BRICS stock markets
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
The North American journal of economics and finance : a …
41
(
2017
),
pp. 133-155
Persistent link: https://www.econbiz.de/10011878945
Saved in:
7
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
8
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
9
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
10
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
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