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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Quantitative finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Autokorrelation"
~subject:"Correlation"
~subject:"Risikomaß"
~subject:"Time series analysis"
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Deutschland
Forecasting model
Autokorrelation
Correlation
Risikomaß
Time series analysis
Estimation theory
146
Schätztheorie
146
Zeitreihenanalyse
61
Estimation
46
Schätzung
46
Volatility
33
Volatilität
33
ARCH model
19
ARCH-Modell
19
Stochastic process
18
Stochastischer Prozess
18
Prognoseverfahren
17
Regression analysis
16
Regressionsanalyse
16
Cointegration
15
Kointegration
15
Börsenkurs
14
Capital income
14
Kapitaleinkommen
14
Monte Carlo simulation
14
Monte-Carlo-Simulation
14
Nichtparametrisches Verfahren
14
Nonparametric statistics
14
Share price
14
Markov chain
13
Markov-Kette
13
Statistical distribution
13
Statistical test
13
Statistische Verteilung
13
Statistischer Test
13
Bayes-Statistik
11
Bayesian inference
11
Portfolio selection
11
Portfolio-Management
11
VAR model
10
VAR-Modell
10
Autocorrelation
9
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75
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Article
79
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1
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79
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79
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English
80
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Enders, Walter
2
Li, Jing
2
Teräsvirta, Timo
2
Tsiotas, Georgios
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Baillie, Richard
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bayer, Christian
1
Behrendt, Simon
1
Bekiros, Stelios
1
Blazsek, Szabolcs
1
Breneis, Simon
1
Buccheri, G.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Carnero, M. Angeles
1
Celani, Alessandro
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chuffart, Thomas
1
Chung, Munki
1
Croux, Christophe
1
Cuestas, Juan Carlos
1
Dagum, Estela Bee
1
Dark, Jonathan Graeme
1
De Angelis, Luca
1
Donfack, Morvan Nongni
1
Dufays, Arnaud
1
Dungey, Mardi H.
1
Ericsson, Neil R.
1
Escribano, Álvaro
1
Fabozzi, Frank J.
1
Falk, Barry
1
Feld, Martin H.-J. M.
1
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Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
462
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
211
Econometric theory
196
Economics letters
196
International journal of forecasting
136
Discussion paper / Tinbergen Institute
122
Econometric reviews
119
Journal of forecasting
105
Working paper / Department of Econometrics and Business Statistics, Monash University
76
CREATES research paper
69
Applied economics letters
67
Journal of the American Statistical Association : JASA
63
Econometrics : open access journal
60
Cowles Foundation discussion paper
59
NBER Working Paper
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
58
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
58
The econometrics journal
58
Computational economics
47
Economic modelling
46
Applied economics
45
Journal of time series econometrics
45
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
43
NBER working paper series
43
Journal of empirical finance
42
Insurance / Mathematics & economics
41
SFB 649 discussion paper
41
Journal of applied econometrics
39
Discussion paper
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
37
EUI working paper / ECO
35
Oxford bulletin of economics and statistics
35
Finance research letters
34
Working paper
34
Working paper / National Bureau of Economic Research, Inc.
34
Série des documents de travail / Centre de Recherche en Économie et Statistique
33
Discussion paper / Center for Economic Research, Tilburg University
32
Journal of banking & finance
32
NBER technical working paper series
30
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ECONIS (ZBW)
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1
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
2
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
3
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
4
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
5
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
6
Matrix autoregressive models : generalization and Bayesian estimation
Celani, Alessandro
;
Pagnottoni, Paolo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 227-248
Persistent link: https://www.econbiz.de/10014631918
Saved in:
7
Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.
;
Sun, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
Saved in:
8
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
9
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
10
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
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