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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~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
2,047
Schätztheorie
2,047
Theorie
497
Theory
497
Nichtparametrisches Verfahren
398
Nonparametric statistics
398
Time series analysis
391
Zeitreihenanalyse
391
Regression analysis
330
Regressionsanalyse
330
Estimation
272
Schätzung
268
Panel
213
Panel study
213
Statistical test
204
Statistischer Test
204
Volatilität
138
Method of moments
134
Momentenmethode
133
Autocorrelation
107
Autokorrelation
107
Maximum likelihood estimation
98
Maximum-Likelihood-Schätzung
98
Bootstrap approach
95
Bootstrap-Verfahren
95
Induktive Statistik
94
Statistical inference
94
Cointegration
87
Kointegration
85
Forecasting model
83
Prognoseverfahren
83
Instrumental variables
82
Statistical distribution
81
Statistische Verteilung
81
Stochastic process
79
Stochastischer Prozess
79
Modellierung
77
Scientific modelling
77
Causality analysis
71
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108
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2
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Article
171
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2
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Article in journal
Bibliografie enthalten
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Aufsatz in Zeitschrift
173
Collection of articles of several authors
1
Sammelwerk
1
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English
173
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Francq, Christian
10
Todorov, Viktor
10
Tauchen, George Eugene
7
Zakoïan, Jean-Michel
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
4
Zhu, Ke
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Koopman, Siem Jan
3
Li, Dong
3
Li, Guodong
3
Maasoumi, Esfandiar
3
Meddahi, Nour
3
Park, Joon Y.
3
Rahbek, Anders
3
Teräsvirta, Timo
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Andreou, Elena
2
Boswijk, Herman Peter
2
Brownlees, Christian
2
Cavaliere, Giuseppe
2
Chen, Qiang
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Jiang, Feiyu
2
Kong, Xin-Bing
2
Laurent, Sébastien
2
Li, Wai Keung
2
Maheu, John M.
2
McAleer, Michael
2
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Econometric reviews
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
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
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
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
Applied economics letters
10
The European journal of finance
9
Finance and stochastics
8
The journal of risk model validation
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
Annals of financial economics
5
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
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ECONIS (ZBW)
173
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173
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Random autoregressive models : a structured overview
Regis, Marta
;
Serra, Paulo
;
Heuvel, Edwin R. van den
- In:
Econometric reviews
41
(
2022
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
Saved in:
3
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
4
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
6
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
7
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
8
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
9
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
10
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
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