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source:"econis"
subject:"Schätztheorie"
~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Schätztheorie
Monte Carlo simulation
Volatilität
Theorie
346
Theory
346
Time series analysis
115
Zeitreihenanalyse
115
Estimation
76
Schätzung
76
Forecasting model
64
Prognoseverfahren
64
Statistical test
53
Statistischer Test
53
Nichtparametrisches Verfahren
50
Nonparametric statistics
50
Volatility
50
Bayes-Statistik
48
Bayesian inference
48
Stochastic process
42
Stochastischer Prozess
42
Statistical distribution
39
Statistische Verteilung
39
Panel
38
Panel study
38
Factor analysis
37
Faktorenanalyse
37
Capital income
31
Kapitaleinkommen
31
Regression analysis
31
Regressionsanalyse
31
Induktive Statistik
30
Statistical inference
30
Bootstrap approach
26
Bootstrap-Verfahren
26
VAR model
25
VAR-Modell
25
Method of moments
23
Momentenmethode
23
Börsenkurs
22
Share price
22
CAPM
21
Markov chain
21
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61
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Aufsatz in Zeitschrift
Article in journal
61
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English
61
Author
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Aït-Sahalia, Yacine
4
Hallin, Marc
4
Asai, Manabu
3
Barigozzi, Matteo
3
Chan, Joshua
3
McAleer, Michael
3
Yu, Jun
3
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Christensen, Kim
2
Herwartz, Helmut
2
Koop, Gary
2
Li, Yong
2
Poon, Aubrey
2
Schorfheide, Frank
2
Thyrsgaard, Martin
2
Xiu, Dacheng
2
Akram, Muhammad
1
Andersen, Torben
1
Bognanni, Mark
1
Brunetti, Celso
1
Buccheri, Giuseppe
1
Byrne, David P.
1
Caporin, Massimiliano
1
Carriero, Andrea
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Choi, Sung Hoon
1
Chu, Amanda M. Y.
1
Clark, Todd E.
1
Corsi, Fulvio
1
Creal, Drew
1
Cross, Jamie
1
Danaher, Peter J.
1
Dellaportas, Petros
1
Diebold, Francis X.
1
Dijk, Dick van
1
Ding, Yashuang
1
Duong, Diep
1
Durham, Garland
1
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Journal of econometrics
Finance research letters
80
International journal of forecasting
61
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
58
Economic modelling
52
Quantitative finance
52
Economics letters
50
Journal of empirical finance
49
Computational economics
48
International review of financial analysis
45
Energy economics
44
Journal of banking & finance
44
Applied economics
43
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
41
Journal of economic dynamics & control
41
International review of economics & finance : IREF
40
Journal of financial economics
40
The North American journal of economics and finance : a journal of financial economics studies
38
European journal of operational research : EJOR
36
Journal of international money and finance
32
Journal of forecasting
30
Econometric reviews
26
Journal of financial econometrics
26
The European journal of finance
24
Applied economics letters
22
Journal of international financial markets, institutions & money
20
Research in international business and finance
20
Journal of financial markets
19
Insurance / Mathematics & economics
18
Macroeconomic dynamics
18
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Journal of risk
16
Management science : journal of the Institute for Operations Research and the Management Sciences
15
Empirical economics : a quarterly journal of the Institute for Advanced Studies
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
13
Journal of mathematical finance
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
International journal of finance & economics : IJFE
12
Journal of economic behavior & organization : JEBO
12
Journal of macroeconomics
12
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ECONIS (ZBW)
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1
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:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
4
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
5
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
8
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
9
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
10
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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