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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk"
~subject:"Risk measure"
~subject:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
Risk measure
Schätzung
Estimation theory
172
Schätztheorie
172
Forecasting model
77
Prognoseverfahren
77
Time series analysis
63
Zeitreihenanalyse
63
Theorie
47
Theory
47
Estimation
33
Risikomaß
25
ARCH model
24
ARCH-Modell
24
Volatilität
20
Regression analysis
18
Regressionsanalyse
18
Portfolio selection
16
Portfolio-Management
16
Capital income
14
Kapitaleinkommen
14
Statistical distribution
13
Statistische Verteilung
13
Börsenkurs
11
Share price
11
Stochastic process
11
Stochastischer Prozess
11
Bootstrap approach
8
Bootstrap-Verfahren
8
Correlation
8
Korrelation
8
Risiko
8
Risk
8
USA
8
United States
8
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Bayes-Statistik
6
Bayesian inference
6
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Undetermined
29
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Article
60
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Article in journal
Aufsatz in Zeitschrift
60
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English
60
Author
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Chan, Ngai Hang
2
Martin, R. Douglas
2
Taylor, James W.
2
Abad, Pilar
1
Abraham, Bovas
1
Abramov, Vyacheslav M.
1
Ai, Chunrong
1
Ally, Abdallah K.
1
An, Yang
1
Ardia, David
1
Arias-Sema, María A.
1
Arora, Rohit
1
Arunachalam, Viswanathan
1
Auer, Benjamin R.
1
Babbs, Simon H.
1
Balakrishna, N.
1
Baysal, Rafet Evren
1
Belhad, Ahmed
1
Ben-Zion, Uri
1
Benito Muela, Sonia
1
Berens, Tobias
1
Bermejo, Miguel Ángel
1
Biscay, R. J.
1
Blanco-Fernández, Ángela
1
Brou, Jean Marcelin Bosson
1
Brännäs, Kurt
1
Butler, Andrew
1
Caro-Lopera, Francisco J.
1
Chen, Bei
1
Cipra, Tomáš
1
Clark, Todd E.
1
Doran, Howard E.
1
Eidestedt, Richard
1
Ekberg, Stefan
1
Fei, Tianlun
1
Feng, Yuanhua
1
Ferrara, Laurent
1
Fischer, Henning
1
Fischer, Matthias
1
Gatarek, Lukasz
1
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Asia-Pacific financial markets
Journal of forecasting
Journal of risk
Journal of econometrics
290
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
157
Economics letters
121
Econometric reviews
74
Economic modelling
61
Applied economics letters
58
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Applied economics
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of applied econometrics
42
Journal of banking & finance
41
The econometrics journal
38
Econometric theory
36
International journal of forecasting
36
Journal of empirical finance
35
Insurance / Mathematics & economics
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Quantitative economics : QE ; journal of the Econometric Society
31
Econometrics : open access journal
30
Computational economics
29
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
Finance research letters
27
Quantitative finance
27
Journal of financial econometrics
26
Journal of the American Statistical Association : JASA
26
European journal of operational research : EJOR
25
International journal of economics and financial issues : IJEFI
24
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Journal of risk and financial management : JRFM
22
The review of economics and statistics
22
Energy economics
21
The North American journal of economics and finance : a journal of financial economics studies
19
International journal of theoretical and applied finance
18
Risks : open access journal
14
The European journal of finance
14
The empirical economics letters : a monthly international journal of economics
14
Applied financial economics
13
Journal of economic dynamics & control
13
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ECONIS (ZBW)
60
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1
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:
2
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:
3
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
4
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
5
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
6
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
7
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
8
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
9
Risk measures : a generalization from the univariate to the matrix-variate
Arias-Sema, María A.
;
Caro-Lopera, Francisco J.
; …
- In:
Journal of risk
23
(
2021
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012593431
Saved in:
10
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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