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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~subject:"Bayes-Statistik"
~subject:"Time series analysis"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayes-Statistik
Time series analysis
Estimation theory
40
Schätztheorie
40
Estimation
15
Schätzung
15
Zeitreihenanalyse
13
Volatilität
11
ARCH model
8
ARCH-Modell
8
Correlation
8
Korrelation
8
Portfolio selection
8
Portfolio-Management
8
Statistical distribution
8
Statistische Verteilung
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7
Prognoseverfahren
7
Risikomaß
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Risk measure
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Analysis of variance
6
Capital income
6
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6
Varianzanalyse
6
Statistical test
5
Statistischer Test
5
Stochastic process
5
Stochastischer Prozess
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CAPM
4
Sampling
4
Stichprobenerhebung
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value-at-risk
4
Autocorrelation
3
Autokorrelation
3
Börsenkurs
3
Induktive Statistik
3
Regression analysis
3
Regressionsanalyse
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Risikoprämie
3
Risk premium
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16
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Article in journal
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English
16
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Bauwens, Luc
1
Buccheri, Giuseppe
1
Cipollini, Fabrizio
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hong, Seok Young
1
Huang, Haitao
1
Hung, Mao-Wei
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Jiang, Binyan
1
Jung, Whayoung
1
Ko, Yi-Chen
1
Lee, Ji Hyung
1
Leng, Xuan
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Xiaohui
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
1
Mancino, Maria Elvira
1
Marmi, Stefano
1
McElroy, Tucker
1
Nolte, Ingmar
1
Noureldin, Diaa
1
Opschoor, Anne
1
Otranto, Edoardo
1
Palandri, Alessandro
1
Pelletier, Denis
1
Peng, Liang
1
Pericoli, Marcello
1
Sucarrat, Genaro
1
Taboga, Marco
1
Tang, Cheng Yong
1
Taylor, Stephen
1
Toscano, Giacomo
1
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Journal of financial econometrics
Journal of econometrics
214
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
81
Econometric reviews
59
Economics letters
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
International journal of forecasting
48
Econometric theory
43
Journal of time series econometrics
38
Computational economics
31
Economic modelling
29
Finance research letters
24
Applied economics letters
20
The econometrics journal
20
Discussion papers / CEPR
18
Journal of empirical finance
16
Journal of quantitative economics
16
Journal of forecasting
15
Quantitative finance
15
European journal of operational research : EJOR
14
The North American journal of economics and finance : a journal of financial economics studies
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Applied economics
12
Energy economics
12
Insurance / Mathematics & economics
12
Journal of economic dynamics & control
11
Journal of banking & finance
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
8
International journal of production research
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of mathematical finance
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Discussion paper / Centre for Economic Policy Research
7
Research in international business and finance
7
Scandinavian actuarial journal
7
International journal of computational economics and econometrics : IJCEE
6
International journal of economics and finance
6
Journal of international financial markets, institutions & money
6
Journal of risk
6
Theoretical economics letters
6
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ECONIS (ZBW)
16
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16
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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
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:
3
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:
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
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
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
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:
8
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:
9
Nearly exact Bayesian estimation of non-linear no-arbitrage term-structure models
Pericoli, Marcello
;
Taboga, Marco
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 807-838
Persistent link: https://www.econbiz.de/10013460028
Saved in:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
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