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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"The econometrics journal"
~subject:"ARCH-Modell"
~type:"article"
~type:"book"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
ARCH-Modell
Estimation theory
272
Schätztheorie
272
Nichtparametrisches Verfahren
60
Nonparametric statistics
60
Regression analysis
55
Regressionsanalyse
55
Panel
39
Panel study
39
Time series analysis
39
Zeitreihenanalyse
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Statistischer Test
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Theorie
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Čížek, Pavel
2
Abadir, Karim Maher
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Arvanitis, Stelios
1
Chen, Jia
1
Coudin, Elise
1
Du, Zaichao
1
Dufour, Jean-Marie
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Dēmos, Antōnēs A.
1
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1
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1
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1
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1
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1
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1
Härdle, Wolfgang
1
Kheifets, Igor L.
1
Knight, John L.
1
Krishnamurthy, Vikram
1
Li, Degui
1
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1
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1
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1
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1
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1
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Veliyev, Bezirgen
1
Veraart, Almut E. D.
1
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The econometrics journal
Journal of econometrics
162
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Econometric theory
60
Economics letters
48
Discussion paper / Tinbergen Institute
47
Econometric reviews
40
CREATES research paper
35
Journal of empirical finance
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
Economic modelling
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Finance research letters
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International journal of forecasting
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SFB 649 discussion paper
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Computational economics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
International journal of theoretical and applied finance
15
Cowles Foundation discussion paper
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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European journal of operational research : EJOR
14
Journal of mathematical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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Applied economics letters
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Discussion papers of interdisciplinary research project 373
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International journal of economics and financial issues : IJEFI
13
Journal of risk
13
Journal of time series econometrics
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Mathematics of operations research
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Insurance / Mathematics & economics
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
4
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
5
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
6
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
7
Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Preminger, Arie
;
Storti, Giuseppe
- In:
The econometrics journal
20
(
2017
)
2
,
pp. 221-258
Persistent link: https://www.econbiz.de/10011757387
Saved in:
8
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
9
Nonparametric bootstrap tests for independence of generalized errors
Du, Zaichao
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 55-83
Persistent link: https://www.econbiz.de/10011487609
Saved in:
10
A class of indirect inference estimators : higher-order asymptotics and approximate bias correction
Arvanitis, Stelios
;
Dēmos, Antōnēs A.
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 200-241
Persistent link: https://www.econbiz.de/10011378482
Saved in:
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