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subject:"Simulation"
type:"article"
~isPartOf:"Journal of financial econometrics"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Simulation
Stochastic process
Stochastischer Prozess
Time series analysis
Estimation theory
49
Schätztheorie
49
Estimation
20
Schätzung
20
Zeitreihenanalyse
15
Volatility
13
Volatilität
13
Statistical test
10
Statistischer Test
10
Correlation
9
Korrelation
9
ARCH model
8
ARCH-Modell
8
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Portfolio selection
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Portfolio-Management
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Prognoseverfahren
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Statistical distribution
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Capital income
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Kapitaleinkommen
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Risikoprämie
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Risk measure
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Risk premium
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Analysis of variance
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CAPM
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Induktive Statistik
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Robust statistics
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Robustes Verfahren
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Sampling
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Statistical inference
6
Stichprobenerhebung
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Varianzanalyse
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4
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4
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Babii, Andrii
1
Bauwens, Luc
1
Buccheri, Giuseppe
1
Chen, Feng
1
Cipollini, Fabrizio
1
Dunsmuir, William T.M.
1
Gallo, Giampiero M.
1
Ghysels, Eric
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hecq, Alain W. J.
1
Hong, Seok Young
1
Huang, Haitao
1
Hung, Mao-Wei
1
Hurn, Stan
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Jiang, Binyan
1
Jung, Whayoung
1
Ko, Yi-Chen
1
Lee, Ji Hyung
1
Leng, Xuan
1
Lindsay, Kenneth A.
1
Liu, Cheng
1
Liu, Xiaohui
1
Livieri, Giulia
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Lu, Jin
1
Lucas, André
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Mancino, Maria Elvira
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Margaritella, Luca
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Marmi, Stefano
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McElroy, Tucker
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Nolte, Ingmar
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Noureldin, Diaa
1
Opschoor, Anne
1
Otranto, Edoardo
1
Palandri, Alessandro
1
Pelletier, Denis
1
Peng, Liang
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Journal of financial econometrics
Journal of econometrics
377
Econometric theory
170
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
170
Economics letters
164
Econometric reviews
113
International journal of forecasting
66
Journal of forecasting
58
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Econometrics : open access journal
54
Applied economics letters
53
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
50
Economic modelling
50
Computational economics
47
The econometrics journal
47
Journal of time series econometrics
42
Applied economics
40
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Journal of applied econometrics
39
Journal of the American Statistical Association : JASA
39
European journal of operational research : EJOR
35
Journal of empirical finance
34
Oxford bulletin of economics and statistics
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Journal of economic dynamics & control
23
Operations research
21
The review of economics and statistics
20
Finance research letters
19
Insurance / Mathematics & economics
19
Journal of risk and financial management : JRFM
19
Quantitative economics : QE ; journal of the Econometric Society
18
The review of economic studies
17
Journal of macroeconomics
16
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Journal of banking & finance
15
Quantitative finance
14
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
International economic review
13
Mathematics of operations research
13
Handbook of financial time series
12
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ECONIS (ZBW)
18
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1
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
Saved in:
2
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
3
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:
4
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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
High-dimensional granger causality tests with an application to VIX and news
Babii, Andrii
;
Ghysels, Eric
;
Striaukas, Jonas
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 605-635
Persistent link: https://www.econbiz.de/10015045166
Saved in:
7
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:
8
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:
9
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
Saved in:
10
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
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