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subject:"Volatilität"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Autoregressives Modell"
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Volatilität
Prognoseverfahren
Autocorrelation
28
Autokorrelation
28
Estimation theory
12
Schätztheorie
12
Börsenkurs
10
Estimation
10
Schätzung
10
Share price
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Theorie
10
Theory
10
Time series analysis
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Zeitreihenanalyse
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ARCH model
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ARCH-Modell
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Capital income
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Volatility
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Forecasting model
5
Stochastic process
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Stochastischer Prozess
5
Einheitswurzeltest
4
Unit root test
4
Anlageverhalten
3
Behavioural finance
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Duration analysis
3
Regression analysis
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Regressionsanalyse
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Risikomaß
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Risk measure
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Statistical test
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Statistische Bestandsanalyse
3
Statistischer Test
3
Aktienindex
2
Aktienmarkt
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Bubbles
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Dauer
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11
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Amihud, Yakov
1
Asai, Manabu
1
Cai, Charlie X.
1
Calzolari, Giorgio
1
Chen, Carl R.
1
Halbleib, Roxana
1
Huang, Ying
1
Hurvich, Clifford M.
1
Jayetileke, Harshanie L.
1
Kim, Minjoo
1
Kinnunen, Jyri
1
Kurozumi, Eiji
1
Kwok, Simon
1
Shin, Yongcheol
1
Skrobotov, Anton
1
Stindl, Tom
1
Su, Yuli
1
Tsarev, Alexey
1
Wang, Yi
1
Wang, You-Gan
1
Wu, Zhengxiao
1
Zagidullina, Aygul
1
Zhang, Qi
1
Zhu, Min
1
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Journal of empirical finance
Journal of financial econometrics
Journal of forecasting
20
International journal of forecasting
16
Journal of econometrics
10
Discussion paper / Tinbergen Institute
8
Economics letters
8
Energy economics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
International review of financial analysis
6
The European journal of finance
6
CESifo working papers
5
Applied economics letters
4
Economic modelling
4
European journal of operational research : EJOR
4
Journal of applied econometrics
4
Journal of banking & finance
4
Quantitative finance
4
Working paper / Department of Econometrics and Business Statistics, Monash University
4
Applied economics
3
CAMA working paper series
3
Cambridge working papers in economics
3
Computational economics
3
Discussion paper / Centre for Economic Policy Research
3
Discussion papers / Helsinki Center of Economic Research : discussion paper
3
Econometric reviews
3
Econometric theory
3
International Journal of Energy Economics and Policy : IJEEP
3
International review of economics & finance : IREF
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of risk
3
Risks : open access journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The North American journal of economics and finance : a journal of financial economics studies
3
The econometrics journal
3
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3
Working papers series in theoretical and applied economics
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2
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ECONIS (ZBW)
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1
A consistent and robust test for autocorrelated jump occurrences
Kwok, Simon
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 157-186
Persistent link: https://www.econbiz.de/10014526309
Saved in:
2
Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals
Stindl, Tom
- In:
Journal of empirical finance
70
(
2023
),
pp. 182-198
Persistent link: https://www.econbiz.de/10014423627
Saved in:
3
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
4
Predictive regression with p-lags and order-q autoregressive predictors
Jayetileke, Harshanie L.
;
Wang, You-Gan
;
Zhu, Min
- In:
Journal of empirical finance
62
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012693434
Saved in:
5
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
6
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
7
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
Saved in:
8
On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao
- In:
Journal of empirical finance
19
(
2012
)
2
,
pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
Saved in:
9
Predictive regression with order-p autoregressive predictors
Amihud, Yakov
;
Hurvich, Clifford M.
;
Wang, Yi
- In:
Journal of empirical finance
17
(
2010
)
3
,
pp. 513-525
Persistent link: https://www.econbiz.de/10009267284
Saved in:
10
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Saved in:
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