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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Computational economics"
~subject:"ARCH-Modell"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Maximum-Likelihood-Schätzung
Volatilität
Estimation theory
108
Schätztheorie
108
Time series analysis
31
Zeitreihenanalyse
31
Monte Carlo simulation
22
Monte-Carlo-Simulation
22
Regression analysis
20
Regressionsanalyse
20
Estimation
19
Schätzung
18
Simulation
14
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
State space model
10
Zustandsraummodell
10
Bayes-Statistik
9
Bayesian inference
9
Stochastic process
9
Stochastischer Prozess
9
Bootstrap approach
8
Bootstrap-Verfahren
8
Forecasting model
8
Maximum likelihood estimation
8
Panel
8
Panel study
8
Prognoseverfahren
8
Statistical distribution
8
Statistische Verteilung
8
ARCH model
6
Option pricing theory
6
Optionspreistheorie
6
Portfolio selection
6
Portfolio-Management
6
Risikomaß
6
Risk measure
6
Statistical test
6
Statistischer Test
6
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14
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2
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Article
18
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Article in journal
Aufsatz in Zeitschrift
Language
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English
18
Author
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Aloy, Marcel
1
Andreasen, Martin Møller
1
Bartolucci, Francesco
1
Battaglia, Francesco
1
Cagnone, Silvia
1
Cervellera, Gian P.
1
Choudhry, Taufiq
1
De Rossi, Giuliano
1
Dempsey, Michael
1
Feng, Xuejie
1
Gao, Kang
1
Gooijer, Jan G. de
1
Herbst, Edward P.
1
Khorunzhina, Natalia
1
Kibria, B. M. Golam
1
Li, Yong
1
Midiliç, Murat
1
Mozumder, Sharif
1
Månsson, Kristofer
1
Richard, Jean-François
1
Rizzo, Manuel
1
Santos, Antonio A. F.
1
Sun, Edward W.
1
Truchis, Gilles de
1
Tucci, Marco Paolo
1
Wang, Bo
1
Wang, Shaoping
1
Wang, Weiguo
1
Wang, Yu-Jen
1
Wei Gao
1
Yu, Gang
1
Yu, Min-Teh
1
Zhang, Chiping
1
Zhang, Jinyu
1
Zhang, Qiaosen
1
Zhu, Shunwei
1
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Computational economics
Journal of econometrics
211
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Economics letters
58
Econometric theory
55
Econometric reviews
51
Journal of empirical finance
30
The econometrics journal
28
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
Economic modelling
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
International journal of forecasting
21
Econometrics : open access journal
20
Journal of forecasting
20
Finance research letters
19
Journal of financial econometrics
19
Journal of banking & finance
18
Journal of the American Statistical Association : JASA
18
Journal of risk and financial management : JRFM
17
Quantitative finance
17
Applied economics
16
Applied economics letters
15
The North American journal of economics and finance : a journal of financial economics studies
15
European journal of operational research : EJOR
14
Journal of risk
14
Insurance / Mathematics & economics
13
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of economic dynamics & control
13
Journal of mathematical finance
13
Journal of time series econometrics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Statistics in transition : an international journal of the Polish Statistical Association
11
The European journal of finance
10
Annals of financial economics
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
9
The journal of risk model validation
9
Finance and stochastics
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International Journal of Energy Economics and Policy : IJEEP
7
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ECONIS (ZBW)
18
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18
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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
Estimating the unrestricted and restricted Liu estimators for the Poisson regression model : method and application
Månsson, Kristofer
;
Kibria, B. M. Golam
- In:
Computational economics
58
(
2021
)
2
,
pp. 311-326
Persistent link: https://www.econbiz.de/10012615004
Saved in:
3
Maximum likelihood estimation methods for Copula models
Zhang, Jinyu
;
Gao, Kang
;
Li, Yong
;
Zhang, Qiaosen
- In:
Computational economics
60
(
2022
)
1
,
pp. 99-124
Persistent link: https://www.econbiz.de/10013262501
Saved in:
4
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
Saved in:
5
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
6
Estimation of STAR-GARCH models with iteratively weighted least squares
Midiliç, Murat
- In:
Computational economics
55
(
2020
)
1
,
pp. 87-117
Persistent link: https://www.econbiz.de/10012222593
Saved in:
7
A perturbation method to optimize the parameters of autoregressive conditional heteroscedasticity model
Feng, Xuejie
;
Zhang, Chiping
- In:
Computational economics
55
(
2020
)
3
,
pp. 1021-1044
Persistent link: https://www.econbiz.de/10012223692
Saved in:
8
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
9
Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500 volatility dynamics
Zhu, Shunwei
;
Wang, Bo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
Saved in:
10
Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Saved in:
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