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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Estimation theory"
~type_genre:"Konferenzbeitrag"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
Schätztheorie
61
Estimation
27
Schätzung
27
Time series analysis
22
Zeitreihenanalyse
22
Volatilität
20
ARCH model
17
ARCH-Modell
17
Forecasting model
12
Prognoseverfahren
12
Risikomaß
12
Risk measure
12
Portfolio selection
11
Portfolio-Management
11
Capital income
10
Correlation
10
Kapitaleinkommen
10
Korrelation
10
Statistical distribution
10
Statistische Verteilung
10
Börsenkurs
8
Share price
8
Stochastic process
7
Stochastischer Prozess
7
Analysis of variance
6
Regression analysis
6
Regressionsanalyse
6
Statistical test
6
Statistischer Test
6
Varianzanalyse
6
CAPM
5
Yield curve
5
Zinsstruktur
5
GARCH
4
Induktive Statistik
4
Method of moments
4
Momentenmethode
4
Sampling
4
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8
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Article
61
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Article in journal
Konferenzbeitrag
Aufsatz in Zeitschrift
61
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English
61
Author
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Kleibergen, Frank
2
Kong, Lingwei
2
Liu, Qiang
2
Liu, Zhi
2
Zhan, Zhaoguo
2
Agrawal, Raj
1
Alañón Pardo, Ángel
1
Auer, Benjamin R.
1
Babii, Andrii
1
Bauwens, Luc
1
Boudt, Kris
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Casas, Isabel
1
Chen, Cathy W. S.
1
Chen, Feng
1
Chiang, Dien-Lin
1
Chiang, Yi-Chein
1
Cipollini, Fabrizio
1
Cornilly, Dries
1
Dahl, Christian M.
1
De Nard, Gianluca
1
Degenhardt, Thomas
1
Diao, Xundi
1
Ding, Hao
1
Dunsmuir, William T.M.
1
Díaz-Mendoza, Ana-Carmen
1
Ferreira, Eva
1
Franke, Reiner
1
Gagliardini, Patrick
1
Gallo, Giampiero M.
1
Ghysels, Eric
1
Golinski, Adam
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gu, Zhutong
1
Guillén, Montserrat
1
Guo, Junjie
1
Haensly, Paul J.
1
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Journal of financial econometrics
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
699
Economics letters
278
Econometric reviews
250
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
249
Econometric theory
152
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
103
The econometrics journal
101
European journal of operational research : EJOR
98
International journal of forecasting
88
Computational economics
77
Insurance / Mathematics & economics
72
Economic modelling
70
Applied economics letters
65
Finance research letters
58
Journal of time series econometrics
56
Applied economics
49
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
Operations research
47
Journal of quantitative economics
46
Journal of econometric methods
39
Empirical economics : a quarterly journal of the Institute for Advanced Studies
38
Journal of economic dynamics & control
37
Operations research letters
36
Journal of forecasting
33
Quantitative finance
32
Journal of empirical finance
28
Scandinavian actuarial journal
26
Energy economics
25
Journal of applied econometrics
25
Journal of banking & finance
25
Management science : journal of the Institute for Operations Research and the Management Sciences
24
Mathematics of operations research
24
Regional science & urban economics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
International journal of production research
22
Journal of risk
21
Organizational research methods : ORM
20
The review of economics and statistics
18
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ECONIS (ZBW)
61
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1
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:
2
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
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
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
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:
5
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:
6
High-dimensional granger causality tests with an application to VIX and news
Babii, Andrii
;
Ghysels, Eric
;
Striaukas, Jonas
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 605-635
Persistent link: https://www.econbiz.de/10015045166
Saved in:
7
Inter-regional dependence of J-REIT stock prices : a heteroscedasticity-robust time series approach
Motegi, Kaiji
;
Iitsuka, Yoshitaka
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014246819
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
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
10
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
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