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subject:"CAPM"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatility"
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CAPM
Estimation theory
Cointegration
Monte-Carlo-Simulation
Volatility
Theorie
1,608
Theory
1,608
Schätztheorie
368
Time series analysis
326
Zeitreihenanalyse
326
Estimation
166
Schätzung
166
Nichtparametrisches Verfahren
140
Nonparametric statistics
140
Forecasting model
128
Prognoseverfahren
128
Statistical test
128
Statistischer Test
128
Volatilität
125
Regression analysis
114
Regressionsanalyse
114
Stochastic process
104
Stochastischer Prozess
104
USA
94
United States
94
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91
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91
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88
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88
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84
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82
Method of moments
81
Momentenmethode
81
Statistical distribution
81
Statistische Verteilung
81
Monte Carlo simulation
75
Kointegration
72
Markov chain
71
Markov-Kette
71
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68
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68
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627
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3
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625
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625
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9
Sammelwerk
9
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3
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3
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English
630
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Chib, Siddhartha
11
Phillips, Peter C. B.
10
Lütkepohl, Helmut
8
Aït-Sahalia, Yacine
7
Koop, Gary
7
Robinson, Peter M.
7
Swanson, Norman R.
7
Gouriéroux, Christian
6
Granger, C. W. J.
6
King, Maxwell L.
6
Kohn, Robert
6
Lee, Lung-fei
6
Li, Qi
6
Saikkonen, Pentti
6
Yu, Jun
6
Baltagi, Badi H.
5
Bollerslev, Tim
5
Boswijk, Herman Peter
5
Diebold, Francis X.
5
Renault, Eric
5
Andersen, Torben
4
Chen, Songnian
4
Corradi, Valentina
4
Ghysels, Eric
4
Gonzalo, Jesús
4
Hallin, Marc
4
Herwartz, Helmut
4
Johansen, Søren
4
Khalaf, Lynda
4
Kleibergen, Frank
4
Lucas, André
4
McAleer, Michael
4
Nielsen, Morten Ørregaard
4
Paap, Richard
4
Park, Joon Y.
4
Pesaran, M. Hashem
4
Rahbek, Anders
4
Schmidt, Peter
4
Tauchen, George Eugene
4
Todorov, Viktor
4
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Journal of econometrics
Economics letters
599
Working paper / National Bureau of Economic Research, Inc.
398
NBER working paper series
379
Econometric theory
345
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
320
NBER Working Paper
309
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
306
Journal of banking & finance
241
Journal of economic dynamics & control
236
Econometric reviews
230
Discussion paper / Tinbergen Institute
228
Journal of financial economics
211
The journal of finance : the journal of the American Finance Association
206
The review of financial studies
204
Journal of applied econometrics
203
Série des documents de travail / Centre de Recherche en Économie et Statistique
199
Applied economics
195
Economic modelling
174
Finance research letters
173
Journal of empirical finance
172
Working paper
169
Discussion paper / Centre for Economic Policy Research
165
Mathematical finance : an international journal of mathematics, statistics and financial theory
157
Journal of quantitative economics : official journal of the Indian Econometric Society
148
Journal of international money and finance
146
The review of economics and statistics
145
Oxford bulletin of economics and statistics
138
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
133
Journal of forecasting
132
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
129
International journal of forecasting
128
International journal of theoretical and applied finance
123
Discussion paper / Center for Economic Research, Tilburg University
118
Journal of monetary economics
117
Applied economics letters
115
International review of financial analysis
115
Finance and stochastics
107
International review of economics & finance : IREF
106
Research paper series / Swiss Finance Institute
102
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ECONIS (ZBW)
630
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630
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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
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
6
Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance
Umlandt, Dennis
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014471829
Saved in:
7
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332237
Saved in:
8
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:
9
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:
10
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
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