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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~language:"eng"
~subject:"Autocorrelation"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Autocorrelation
Stochastic process
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
Volatilität
13
Correlation
9
Korrelation
9
Statistical test
9
Statistischer Test
9
ARCH model
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ARCH-Modell
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Forecasting model
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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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Statistische Verteilung
8
Capital income
7
Kapitaleinkommen
7
Risikomaß
7
Risikoprämie
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Risk measure
7
Risk premium
7
Analysis of variance
6
CAPM
6
Robust statistics
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Robustes Verfahren
6
Sampling
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Stichprobenerhebung
6
Varianzanalyse
6
Induktive Statistik
5
Statistical inference
5
Börsenkurs
4
Regression analysis
4
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4
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Sancetta, Alessio
2
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Chen, Feng
1
Cipollini, Fabrizio
1
Dahl, Christian M.
1
Dunsmuir, William T.M.
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Hong, Seok Young
1
Hung, Mao-Wei
1
Hurn, Stan
1
Iglesias, Emma M.
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Kim, Minjoo
1
Ko, Yi-Chen
1
Lindsay, Kenneth A.
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
1
Mancino, Maria Elvira
1
Marmi, Stefano
1
McElroy, Tucker
1
Nadler, Philip
1
Nolte, Ingmar
1
Noureldin, Diaa
1
Opschoor, Anne
1
Palandri, Alessandro
1
Pelletier, Denis
1
Shin, Yongcheol
1
Sucarrat, Genaro
1
Tang, Cheng Yong
1
Taylor, Stephen
1
Toscano, Giacomo
1
Vocalelli, Giorgio
1
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Journal of financial econometrics
Journal of econometrics
212
Economics letters
70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
Econometric reviews
61
Econometric theory
55
Discussion paper / Tinbergen Institute
48
Economic modelling
33
CREATES research paper
32
Journal of empirical finance
28
The econometrics journal
28
Cowles Foundation discussion paper
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Econometrics : open access journal
20
International journal of forecasting
20
Finance research letters
18
Quantitative finance
18
European journal of operational research : EJOR
17
Journal of forecasting
17
Applied economics letters
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
Journal of banking & finance
16
Journal of risk and financial management : JRFM
16
Discussion papers of interdisciplinary research project 373
15
International journal of theoretical and applied finance
15
SFB 649 discussion paper
15
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Regional science & urban economics
13
The North American journal of economics and finance : a journal of financial economics studies
13
Computational economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
NBER Working Paper
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
International journal of economics and financial issues : IJEFI
11
Mathematics of operations research
11
CESifo working papers
10
Finance and stochastics
10
Journal of mathematical finance
10
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
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
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:
5
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
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:
6
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:
7
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:
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
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
10
The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Dahl, Christian M.
;
Iglesias, Emma M.
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 139-159
Persistent link: https://www.econbiz.de/10012878189
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