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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Journal of forecasting"
~isPartOf:"Quantitative finance"
~subject:"Capital income"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Capital income
Estimation theory
288
Schätztheorie
288
Forecasting model
81
Prognoseverfahren
81
Time series analysis
79
Zeitreihenanalyse
79
Regression analysis
59
Regressionsanalyse
59
Theorie
57
Theory
57
Nichtparametrisches Verfahren
49
Nonparametric statistics
49
Estimation
45
Schätzung
45
Volatilität
29
Stochastic process
21
Statistical distribution
20
Statistische Verteilung
20
Statistical test
16
Statistischer Test
16
Börsenkurs
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Kapitaleinkommen
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ARCH model
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ARCH-Modell
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Bootstrap approach
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Bootstrap-Verfahren
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Robust statistics
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Robustes Verfahren
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Statistical error
12
Statistischer Fehler
12
Option pricing theory
11
Optionspreistheorie
11
VAR model
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10
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English
47
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Härdle, Wolfgang
3
Spokojnyj, Vladimir G.
3
Küchler, Uwe
2
Reiß, Markus
2
Taylor, James W.
2
Abraham, Bovas
1
Ai, Chunrong
1
An, Yang
1
Atici, Kazim Baris
1
Balakrishna, N.
1
Bayer, Christian
1
Behrendt, Simon
1
Ben-Zion, Uri
1
Blanco-Fernández, Ángela
1
Breneis, Simon
1
Buccheri, G.
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chan, Ngai Hang
1
Chatterjee, Rupak
1
Chen, Bei
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Dankenbring, Henning
1
Enginar, Onur
1
Favreau, Charles
1
Fei, Tianlun
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Fischer, Henning
1
Galakis, John
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Gel, Yulia R.
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Genon-Catalot, Valentine
1
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1
Hizmeri, Rodrigo
1
Horst, Ulrich
1
Hsieh, Ping-hung
1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
12
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Discussion papers of interdisciplinary research project 373
Journal of forecasting
Quantitative finance
Journal of econometrics
160
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
42
Discussion paper / Tinbergen Institute
38
Journal of empirical finance
36
Econometric reviews
30
Economic modelling
28
CREATES research paper
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Econometric theory
25
Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of banking & finance
20
Journal of risk and financial management : JRFM
19
Journal of financial econometrics
18
International journal of forecasting
17
International journal of theoretical and applied finance
17
SFB 649 discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
Econometrics : open access journal
16
European journal of operational research : EJOR
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The econometrics journal
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Computational economics
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Cowles Foundation discussion paper
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Journal of financial economics
13
Journal of mathematical finance
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NBER Working Paper
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The North American journal of economics and finance : a journal of financial economics studies
13
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Insurance / Mathematics & economics
12
The European journal of finance
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Working paper / National Bureau of Economic Research, Inc.
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
International journal of economics and financial issues : IJEFI
11
Mathematics of operations research
11
NBER working paper series
11
The review of financial studies
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ECONIS (ZBW)
47
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1
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
7
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
8
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
9
Optimal forecast error as an unbiased estimator of abnormal return : a proposition
Enginar, Onur
;
Atici, Kazim Baris
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 158-166
Persistent link: https://www.econbiz.de/10012796281
Saved in:
10
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
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