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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Cointegration"
~subject:"Statistical distribution"
~subject:"Statistical test"
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Stochastischer Prozess
Volatility
Cointegration
Statistical distribution
Statistical test
Estimation theory
289
Schätztheorie
289
Time series analysis
56
Zeitreihenanalyse
56
Estimation
51
Schätzung
50
Regression analysis
43
Regressionsanalyse
43
Nichtparametrisches Verfahren
36
Nonparametric statistics
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Technical efficiency
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Mathematical programming
25
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Heidergott, Bernd
2
Li, Jing
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Schweikert, Karsten
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Tsionas, Efthymios G.
2
Abbara, Omar
1
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Bu, Ruijun
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European journal of operational research : EJOR
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
367
Econometric reviews
120
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
115
Economics letters
109
Econometric theory
107
Discussion paper / Tinbergen Institute
75
The econometrics journal
68
CEMMAP working papers / Centre for Microdata Methods and Practice
65
Cowles Foundation discussion paper
61
Economic modelling
55
Insurance / Mathematics & economics
54
CREATES research paper
51
Econometrics : open access journal
51
Applied economics letters
42
International journal of forecasting
38
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
37
Cowles Foundation Discussion Paper
35
Discussion paper / Center for Economic Research, Tilburg University
35
Journal of the American Statistical Association : JASA
34
Discussion papers of interdisciplinary research project 373
31
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
31
Journal of empirical finance
30
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
29
Journal of financial econometrics
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Working paper / Department of Econometrics and Business Statistics, Monash University
29
Applied economics
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Finance research letters
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Quantitative economics : QE ; journal of the Econometric Society
27
Statistics in transition : an international journal of the Polish Statistical Association
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
SFB 649 discussion paper
26
Working paper
26
Journal of banking & finance
25
Journal of forecasting
25
Série des documents de travail / Centre de Recherche en Économie et Statistique
25
Computational economics
24
Journal of risk and financial management : JRFM
23
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ECONIS (ZBW)
75
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1
Markov-switching models with unknown error distributions : identification and inference within the Bayesian framework
Hwu, Shih-Tang
;
Kim, Chang-jin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 177-199
Persistent link: https://www.econbiz.de/10014631899
Saved in:
2
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
3
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:
4
Sequential Monte Carlo with model tempering
Mlikota, Marko
;
Schorfheide, Frank
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 249-269
Persistent link: https://www.econbiz.de/10014631921
Saved in:
5
A new test for non-linear hypotheses under distributional and local parametric misspecification
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 669-685
Persistent link: https://www.econbiz.de/10014506833
Saved in:
6
Joint production in stochastic non-parametric envelopment of data with firm-specific directions
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1336-1347
Persistent link: https://www.econbiz.de/10014282988
Saved in:
7
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:
8
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
Saved in:
9
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
10
Stochastic derivative estimation for max-stable random fields
Koch, Erwan
;
Robert, Christian Yann
- In:
European journal of operational research : EJOR
302
(
2022
)
2
,
pp. 575-588
Persistent link: https://www.econbiz.de/10013270124
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