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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of forecasting"
~subject:"Monte Carlo simulation"
~subject:"Statistische Methodenlehre"
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Search: subject_exact:"Estimation theory"
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Volatility
Monte Carlo simulation
Statistische Methodenlehre
Estimation theory
731
Schätztheorie
731
Theorie
242
Theory
242
Time series analysis
195
Zeitreihenanalyse
195
Estimation
147
Schätzung
147
Forecasting model
116
Prognoseverfahren
116
Nichtparametrisches Verfahren
112
Nonparametric statistics
112
Regression analysis
107
Regressionsanalyse
107
USA
101
United States
101
Volatilität
57
Statistical test
47
Statistischer Test
47
Induktive Statistik
42
Panel
42
Panel study
42
Statistical inference
42
Correlation
41
Korrelation
41
Capital income
38
Kapitaleinkommen
38
ARCH model
37
ARCH-Modell
37
Maximum likelihood estimation
33
Maximum-Likelihood-Schätzung
33
Bootstrap approach
30
Bootstrap-Verfahren
30
Statistical theory
30
Bayes-Statistik
29
Bayesian inference
29
Börsenkurs
29
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29
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3
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Article
109
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Article in journal
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109
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English
109
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Clark, Todd E.
2
Gao, Jiti
2
Ghysels, Eric
2
Gregory, Allan W.
2
Hansen, Bruce E.
2
Hansen, Christian Bailey
2
Hautsch, Nikolaus
2
Huber, Martin
2
Jing, Bingyi
2
Lechner, Michael
2
Shephard, Neil G.
2
Silvapulle, Paramsothy
2
Taylor, James W.
2
Tsay, Ruey S.
2
Vanhonacker, Wilfried R.
2
Yang, Xiye
2
Abraham, Bovas
1
Abramov, Vyacheslav M.
1
Alfelt, Gustav
1
Allenby, Greg M.
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Balakrishna, N.
1
Bandi, Federico M.
1
Bauwens, Luc
1
Ben-Zion, Uri
1
Bester, C. Alan
1
Bibinger, Markus
1
Biscay, R. J.
1
Blanco-Fernández, Ángela
1
Bodnar, Taras
1
Bodory, Hugo
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Breunig, Christoph
1
Buccheri, Giuseppe
1
Burnside, Craig
1
Camponovo, Lorenzo
1
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Asia-Pacific financial markets
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of forecasting
Journal of econometrics
180
Economics letters
69
Econometric reviews
65
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
53
Econometric theory
44
Economic modelling
27
Computational economics
26
The econometrics journal
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Econometrics : open access journal
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
20
Journal of empirical finance
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Applied economics
18
International journal of forecasting
18
Quantitative finance
18
Finance research letters
17
Applied economics letters
16
European journal of operational research : EJOR
16
International journal of theoretical and applied finance
16
Journal of financial econometrics
15
Journal of quantitative economics : official journal of the Indian Econometric Society
15
Oxford bulletin of economics and statistics
15
Journal of banking & finance
13
Journal of risk and financial management : JRFM
13
Journal of the American Statistical Association : JASA
13
Journal of economic dynamics & control
12
The North American journal of economics and finance : a journal of financial economics studies
12
American journal of agricultural economics
11
International economic review
11
Risks : open access journal
11
Annales d'économie et de statistique
10
Finance and stochastics
10
Journal of quantitative economics
9
International journal of economics and financial issues : IJEFI
8
Journal of applied econometrics
8
Journal of mathematical finance
8
The review of economics and statistics
8
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ECONIS (ZBW)
109
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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
Local polynomial order in regression discontinuity designs
Pei, Zhuan
;
Lee, David S.
;
Card, David E.
;
Weber, Andrea
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1259-1267
Persistent link: https://www.econbiz.de/10013539508
Saved in:
4
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
5
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
6
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:
7
Inference in a class of optimization problems : confidence regions and finite sample bounds on errors in coverage probabilities
Horowitz, Joel
;
Lee, Sokbae
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 927-938
Persistent link: https://www.econbiz.de/10014448462
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
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
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