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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Applied economics letters"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The econometrics journal"
~type_genre:"Bibliografie enthalten"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
1,080
Schätztheorie
1,080
Time series analysis
233
Zeitreihenanalyse
233
Theorie
232
Theory
232
Estimation
218
Schätzung
218
Nichtparametrisches Verfahren
186
Nonparametric statistics
186
Regression analysis
166
Regressionsanalyse
166
Panel
103
Panel study
103
USA
103
United States
103
Statistical test
94
Statistischer Test
94
Induktive Statistik
66
Statistical inference
66
Forecasting model
63
Prognoseverfahren
63
Volatilität
59
Correlation
54
Korrelation
54
Method of moments
48
Momentenmethode
48
ARCH model
46
ARCH-Modell
46
Instrumental variables
45
Monte Carlo simulation
45
Monte-Carlo-Simulation
45
Statistical distribution
45
Statistische Verteilung
45
Autocorrelation
44
Bootstrap approach
44
Bootstrap-Verfahren
44
Autokorrelation
43
IV-Schätzung
41
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4
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Article
59
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Article in journal
Bibliografie enthalten
Übersichtsarbeit
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59
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English
59
Author
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Ghysels, Eric
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Liu, Zhi
2
Shephard, Neil G.
2
Yang, Xiye
2
Abadir, Karim Maher
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Bandi, Federico M.
1
Bauwens, Luc
1
Bibinger, Markus
1
Bodnar, Taras
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Buccheri, Giuseppe
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Chen, Zirong
1
Corsi, Fulvio
1
Coudin, Elise
1
Dias, Gustavo Fruet
1
Dotsis, George
1
Dueker, Michael
1
Dufour, Jean-Marie
1
Elliott, Robert J.
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Foster, F. Douglas
1
Francq, Christian
1
Gao, Jiti
1
Gerlach, Richard H.
1
Götz, Thomas B.
1
Hafner, Christian M.
1
Harvey, Andrew C.
1
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Applied economics letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The econometrics journal
Journal of econometrics
116
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
16
Econometric theory
15
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
Econometrics : open access journal
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
The European journal of finance
6
The journal of risk model validation
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
Research in international business and finance
5
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
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ECONIS (ZBW)
59
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1
An econometric analysis of volatility discovery
Dias, Gustavo Fruet
;
Papailias, Fotis
;
Scherrer, Cristina
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
7
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
8
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Saved in:
9
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
10
Should (co)jump variation be included in asset allocation?
Chen, Zirong
;
Lin, Haonan
;
Zheng, Xu
- In:
Applied economics letters
29
(
2022
)
20
,
pp. 1868-1875
Persistent link: https://www.econbiz.de/10013412321
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