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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometric theory"
~isPartOf:"Journal of econometrics"
~isPartOf:"Quantitative finance"
~subject:"Bayesian inference"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Estimation theory
2,362
Schätztheorie
2,362
Theorie
651
Theory
651
Time series analysis
472
Zeitreihenanalyse
472
Nichtparametrisches Verfahren
418
Nonparametric statistics
418
Regression analysis
356
Regressionsanalyse
356
Estimation
256
Schätzung
252
Statistical test
192
Statistischer Test
192
Panel
178
Panel study
178
Volatilität
146
Method of moments
123
Momentenmethode
122
Autocorrelation
110
Autokorrelation
110
Induktive Statistik
105
Statistical inference
105
Forecasting model
93
Prognoseverfahren
93
Cointegration
89
Kointegration
88
Statistical distribution
88
Statistische Verteilung
88
ARCH model
87
ARCH-Modell
87
Maximum likelihood estimation
87
Maximum-Likelihood-Schätzung
87
Bootstrap approach
83
Bootstrap-Verfahren
83
Instrumental variables
83
Stochastic process
82
Stochastischer Prozess
82
IV-Schätzung
72
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Undetermined
128
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4
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Article
199
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Article in journal
Government document
Aufsatz in Zeitschrift
199
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English
199
Author
All
Todorov, Viktor
11
Tauchen, George Eugene
9
Li, Jia
8
Andersen, Torben
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Zhang, Xinyu
5
Gallant, A. Ronald
4
Mykland, Per A.
4
Park, Joon Y.
4
Wang, Yazhen
4
Zakoïan, Jean-Michel
4
Zou, Guohua
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Fan, Jianqing
3
Hong, Han
3
Koopman, Siem Jan
3
Meddahi, Nour
3
Varneskov, Rasmus Tangsgaard
3
Wang, Bin
3
Zhang, Lan
3
Bauwens, Luc
2
Cavaliere, Giuseppe
2
Chevillon, Guillaume
2
Clinet, Simon
2
Fulop, Andras
2
Ghysels, Eric
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Jing, Bingyi
2
Kim, Chae-yŏng
2
Kim, Jihyun
2
Kong, Xin-Bing
2
Laurent, Sébastien
2
Li, Guodong
2
Li, Junye
2
Li, Wai Keung
2
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Econometric theory
Journal of econometrics
Quantitative finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
38
Econometric reviews
31
Economic modelling
28
International journal of forecasting
25
Journal of empirical finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
The econometrics journal
18
Econometrics : open access journal
17
Journal of the American Statistical Association : JASA
17
Finance research letters
16
Journal of forecasting
16
Journal of banking & finance
15
European journal of operational research : EJOR
14
Journal of applied econometrics
14
Journal of financial econometrics
14
Computational economics
13
International journal of theoretical and applied finance
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of economic dynamics & control
12
Journal of risk and financial management : JRFM
12
Quantitative economics : QE ; journal of the Econometric Society
12
The North American journal of economics and finance : a journal of financial economics studies
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of quantitative economics
11
Applied economics
10
Applied economics letters
9
Insurance / Mathematics & economics
9
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
8
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
8
Central European journal of economic modelling and econometrics
7
Risks : open access journal
7
Statistics in transition : an international journal of the Polish Statistical Association
7
The journal of risk model validation
7
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ECONIS (ZBW)
199
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199
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1
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
2
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
3
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
4
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
5
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
6
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:
7
Penalized time-varying model averaging
Sun, Yuying
;
Hong, Yongmiao
;
Wang, Shouyang
;
Zhang, Xinyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1355-1377
Persistent link: https://www.econbiz.de/10014471396
Saved in:
8
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:
9
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:
10
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
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