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subject:"USA"
subject:"Volatilität"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of financial econometrics"
~subject:"Bootstrap approach"
~subject:"Risk premium"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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USA
Volatilität
Bootstrap approach
Risk premium
Volatility
Estimation theory
650
Schätztheorie
650
Theorie
198
Theory
198
Time series analysis
154
Zeitreihenanalyse
154
Estimation
148
Schätzung
148
Nichtparametrisches Verfahren
113
Nonparametric statistics
113
Regression analysis
94
Regressionsanalyse
94
United States
94
Statistical test
52
Statistischer Test
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47
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Korrelation
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Capital income
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Kapitaleinkommen
36
ARCH model
33
ARCH-Modell
33
Statistical distribution
31
Statistische Verteilung
31
Maximum likelihood estimation
30
Maximum-Likelihood-Schätzung
30
Bootstrap-Verfahren
29
Statistical theory
29
Statistische Methodenlehre
29
Method of moments
27
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27
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Article
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178
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English
180
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Kleibergen, Frank
5
Kong, Lingwei
5
Zhan, Zhaoguo
5
Franses, Philip Hans
3
Ghysels, Eric
3
Khalaf, Lynda
3
Lucas, André
3
Bera, Anil K.
2
Bester, C. Alan
2
Bollerslev, Tim
2
Buccheri, Giuseppe
2
Davidson, Russell
2
Hansen, Christian Bailey
2
Hautsch, Nikolaus
2
Higgins, Matthew Lawrence
2
Jing, Bingyi
2
Lesage, James P.
2
Ling, Shiqing
2
Liu, Zhi
2
MacKinnon, James G.
2
Maddala, Gangadharrao S.
2
Nielsen, Morten Ørregaard
2
Nolte, Ingmar
2
Peñaranda, Francisco
2
Pfeffermann, Danny
2
Sancetta, Alessio
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Song, Xiaojun
2
Sucarrat, Genaro
2
Sørensen, Bent E.
2
Yang, Xiye
2
Zaffaroni, Paolo
2
Akgiray, Vedat
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Ang, Andrew
1
Antoine, Bertille
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of financial econometrics
Journal of econometrics
209
Economics letters
57
Econometric reviews
51
The review of economics and statistics
46
Working paper / National Bureau of Economic Research, Inc.
44
Discussion paper / Tinbergen Institute
41
CEMMAP working papers / Centre for Microdata Methods and Practice
40
CREATES research paper
36
Econometric theory
31
Journal of applied econometrics
31
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
30
The econometrics journal
28
Journal of empirical finance
27
International journal of forecasting
26
Economic modelling
25
Journal of banking & finance
23
NBER working paper series
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
American journal of agricultural economics
20
Applied economics
20
Cowles Foundation discussion paper
19
Journal of forecasting
19
Discussion paper / Centre for Economic Policy Research
18
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
The journal of finance : the journal of the American Finance Association
18
The journal of futures markets
18
Finance research letters
16
Journal of financial and quantitative analysis : JFQA
16
Journal of the American Statistical Association : JASA
16
Quantitative finance
16
The review of financial studies
16
Computational economics
15
Discussion paper series / IZA
15
Econometrics : open access journal
15
International journal of theoretical and applied finance
15
SFB 649 discussion paper
15
European journal of operational research : EJOR
14
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ECONIS (ZBW)
180
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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
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
3
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
Saved in:
4
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
5
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
6
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:
7
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
8
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:
9
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:
10
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
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