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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"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
787
Schätztheorie
787
Theorie
201
Theory
201
Time series analysis
187
Zeitreihenanalyse
187
Estimation
182
Schätzung
182
Nichtparametrisches Verfahren
122
Nonparametric statistics
122
Regression analysis
107
Regressionsanalyse
107
USA
99
United States
99
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61
Panel study
61
Statistical test
57
Statistischer Test
57
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48
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48
Volatilität
46
Correlation
45
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45
Induktive Statistik
44
Statistical inference
44
Method of moments
34
Momentenmethode
34
Maximum likelihood estimation
33
Maximum-Likelihood-Schätzung
33
ARCH model
32
Capital income
32
Kapitaleinkommen
32
Monte Carlo simulation
32
Monte-Carlo-Simulation
32
Statistical distribution
30
Statistical theory
30
Statistische Methodenlehre
30
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30
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67
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Article in journal
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67
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1
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English
67
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Bauwens, Luc
2
Bollerslev, Tim
2
Ghysels, Eric
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Ling, Shiqing
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Tsay, Ruey S.
2
Yang, Xiye
2
Aielli, Gian Piero
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Bandi, Federico M.
1
Bibinger, Markus
1
Bodnar, Taras
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Buccheri, Giuseppe
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Ho-chyuan
1
Chen, Kuang-hua
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Chen, Zirong
1
Cook, Steven
1
Corsi, Fulvio
1
Ding, Cherng G.
1
Dotsis, George
1
Dueker, Michael
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Fan, Jianqing
1
Foster, F. Douglas
1
Francq, Christian
1
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Applied economics letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
141
Econometric theory
48
Economics letters
38
Econometric reviews
31
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of banking & finance
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
15
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
Finance and stochastics
8
The European journal of finance
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Applied financial economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of financial engineering
6
The journal of risk model validation
6
Annals of financial economics
5
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
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ECONIS (ZBW)
67
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1
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:
2
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:
3
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:
4
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
10
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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