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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Computational economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
698
Schätztheorie
698
Theorie
197
Theory
197
Time series analysis
169
Zeitreihenanalyse
169
Estimation
146
Schätzung
145
Nichtparametrisches Verfahren
122
Nonparametric statistics
122
Regression analysis
109
Regressionsanalyse
109
USA
94
United States
94
Forecasting model
51
Prognoseverfahren
51
Panel
49
Panel study
49
Statistical test
49
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49
Volatilität
48
Induktive Statistik
44
Statistical inference
44
Monte Carlo simulation
43
Monte-Carlo-Simulation
43
Correlation
40
Korrelation
40
Simulation
40
Maximum likelihood estimation
36
Maximum-Likelihood-Schätzung
36
Bootstrap approach
34
Bootstrap-Verfahren
34
Capital income
34
Kapitaleinkommen
34
Bayes-Statistik
32
Bayesian inference
32
Statistical theory
32
Statistische Methodenlehre
32
ARCH model
31
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Article
68
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Article in journal
Bibliografie enthalten
Non-commercial literature
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68
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1
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English
68
Author
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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
Aloy, Marcel
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Bandi, Federico M.
1
Bartolucci, Francesco
1
Battaglia, Francesco
1
Bibinger, Markus
1
Bodnar, Taras
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Buccheri, Giuseppe
1
Cagnone, Silvia
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Choudhry, Taufiq
1
Corsi, Fulvio
1
Dempsey, Michael
1
Dueker, Michael
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Fan, Jianqing
1
Feng, Xuejie
1
Foster, F. Douglas
1
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Computational economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
141
Econometric theory
48
Economics letters
38
Discussion paper / Tinbergen Institute
35
Econometric reviews
32
Journal of empirical finance
29
CREATES research paper
24
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
16
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
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
Journal of mathematical finance
11
Journal of time series econometrics
11
SFB 649 discussion paper
11
Applied economics letters
10
CORE discussion papers : DP
9
The European journal of finance
9
Finance and stochastics
8
The journal of risk model validation
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working papers
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
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ECONIS (ZBW)
68
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1
Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors
Gooijer, Jan G. de
- In:
Computational economics
62
(
2023
)
1
,
pp. 407-424
Persistent link: https://www.econbiz.de/10014327543
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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