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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The econometrics journal"
~subject:"ARCH model"
~subject:"Stochastischer Prozess"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Subject
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Deutschland
Forecasting model
ARCH model
Stochastischer Prozess
Estimation theory
321
Schätztheorie
321
Nichtparametrisches Verfahren
62
Nonparametric statistics
62
Regression analysis
59
Regressionsanalyse
59
Time series analysis
54
Zeitreihenanalyse
54
Estimation
49
Schätzung
49
Statistical test
46
Statistischer Test
46
Panel
40
Panel study
40
Theorie
31
Theory
31
Induktive Statistik
25
Statistical inference
25
Volatility
25
Volatilität
25
Statistical distribution
23
Statistische Verteilung
23
ARCH-Modell
22
Prognoseverfahren
20
Bootstrap approach
18
Bootstrap-Verfahren
18
Correlation
18
Korrelation
18
Autocorrelation
17
Autokorrelation
16
Instrumental variables
16
Modellierung
16
Scientific modelling
16
Method of moments
15
Momentenmethode
15
Monte Carlo simulation
15
Monte-Carlo-Simulation
15
Heteroscedasticity
14
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Online availability
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Undetermined
32
Free
3
Type of publication
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Article
49
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Aufsatz in Zeitschrift
Article in journal
49
Language
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English
49
Author
All
Liu, Qiang
2
Liu, Zhi
2
Taylor, Stephen
2
Čížek, Pavel
2
Abadir, Karim Maher
1
Arvanitis, Stelios
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Michael
1
Cai, Yuzhi
1
Chen, Feng
1
Chen, Jia
1
Cheng, Tingting
1
Cipollini, Fabrizio
1
Coudin, Elise
1
Del Negro, Marco
1
Du, Zaichao
1
Dufour, Jean-Marie
1
Dunsmuir, William T.M.
1
Dēmos, Antōnēs A.
1
Gallo, Giampiero M.
1
Gao, Jiti
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gungor, Sermin
1
Guo, Junjie
1
Götz, Thomas B.
1
Hafner, Christian M.
1
Hauzenberger, Klemens
1
Herbst, Edward P.
1
Hong, Seok Young
1
Huang, Da
1
Huang, Haitao
1
Hubner, Stefan
1
Hung, Mao-Wei
1
Hurn, Stan
1
Härdle, Wolfgang
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Kang, Kyu Ho
1
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Published in...
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Journal of financial econometrics
The econometrics journal
Journal of econometrics
171
International journal of forecasting
119
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
94
Journal of forecasting
77
Econometric theory
59
Economics letters
57
Econometric reviews
42
Journal of empirical finance
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
Economic modelling
27
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
Finance research letters
26
European journal of operational research : EJOR
23
Insurance / Mathematics & economics
23
Computational economics
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Journal of the American Statistical Association : JASA
21
Journal of banking & finance
20
Econometrics : open access journal
19
Quantitative finance
19
Applied economics
18
Journal of risk and financial management : JRFM
18
Applied economics letters
17
Journal of time series econometrics
17
Journal of mathematical finance
15
Risks : open access journal
15
Empirical economics : a quarterly journal of the Institute for Advanced Studies
14
International journal of economics and financial issues : IJEFI
14
Journal of applied econometrics
14
Journal of risk
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
International Journal of Energy Economics and Policy : IJEEP
12
Mathematics of operations research
12
The North American journal of economics and finance : a journal of financial economics studies
12
Operations research
11
Oxford bulletin of economics and statistics
11
The European journal of finance
11
Journal of productivity analysis
10
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ECONIS (ZBW)
49
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49
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
4
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:
5
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
6
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
7
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
8
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
9
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
10
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
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