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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"International review of financial analysis"
~subject:"CAPM"
~subject:"Instrumental variables"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
CAPM
Instrumental variables
Zeitreihenanalyse
Estimation theory
330
Schätztheorie
330
Theorie
242
Theory
242
Statistical theory
45
Statistische Methodenlehre
45
Time series analysis
41
Nichtparametrisches Verfahren
36
Nonparametric statistics
36
Estimation
23
Schätzung
23
Probability theory
19
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Wahrscheinlichkeitsrechnung
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Article
66
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Article in journal
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66
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English
66
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Nelson, Daniel B.
4
Phillips, Peter C. B.
4
Tauchen, George Eugene
4
Andrews, Donald W. K.
3
Abadir, Karim Maher
2
Chamberlain, Gary
2
Foster, Dean P.
2
Gallant, A. Ronald
2
Hadri, Kaddour
2
Li, Jia
2
Sims, Christopher A.
2
Stock, James H.
2
Tzavalis, Elias
2
Uhlig, Harald
2
Watson, Mark W.
2
White, Halbert
2
Alexander, Carol
1
Alvarez, Javier
1
Andrews, Isaiah
1
Arellano, Manuel
1
Bai, Jushan
1
Bierens, Herman J.
1
Caetano, Carolina
1
Chao, John C.
1
Chen, Xiaohong
1
Chesher, Andrew
1
Christensen, Timothy M.
1
Cooley, Thomas F.
1
DeJong, David Neil
1
Doornik, Jurgen A.
1
Duffie, Darrell
1
Dufour, Jean-Marie
1
Engle, Robert F.
1
Escobar, Marcos
1
Faust, Jon
1
Freyberger, Joachim
1
Hamilton, James D.
1
Hansen, Bruce E.
1
Holtz-Eakin, Douglas
1
Hong, Yongmiao
1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
International review of financial analysis
Journal of econometrics
440
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
188
Econometric theory
182
Economics letters
170
Econometric reviews
112
International journal of forecasting
70
Journal of forecasting
61
The econometrics journal
59
Applied economics letters
58
Econometrics : open access journal
56
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Economic modelling
47
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Journal of empirical finance
43
Applied economics
40
Journal of the American Statistical Association : JASA
40
Journal of time series econometrics
40
Computational economics
38
Journal of applied econometrics
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
Finance research letters
28
Quantitative economics : QE ; journal of the Econometric Society
28
Oxford bulletin of economics and statistics
26
Journal of banking & finance
25
Journal of risk and financial management : JRFM
24
Journal of financial econometrics
23
Quantitative finance
21
Journal of economic dynamics & control
19
The review of economics and statistics
18
Journal of financial economics
17
The North American journal of economics and finance : a journal of financial economics studies
17
The journal of finance : the journal of the American Finance Association
17
Empirical economics : a quarterly journal of the Institute for Advanced Studies
16
International journal of economics and financial issues : IJEFI
16
Journal of macroeconomics
16
Journal of quantitative economics
16
The review of economic studies
16
International journal of theoretical and applied finance
15
The journal of futures markets
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ECONIS (ZBW)
66
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1
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
Saved in:
2
Non-performing loans in the euro area : does bank market power matter?
Karadima, Maria
;
Louri, Helen
- In:
International review of financial analysis
72
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012437362
Saved in:
3
Generalized instrumental variable models
Chesher, Andrew
;
Rosen, Adam M.
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
3
,
pp. 959-989
Persistent link: https://www.econbiz.de/10011778835
Saved in:
4
Nonparametric stochastic discount factor decomposition
Christensen, Timothy M.
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
5
,
pp. 1501-1536
Persistent link: https://www.econbiz.de/10011791592
Saved in:
5
On completeness and consistency in nonparametric instrumental variable models
Freyberger, Joachim
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
5
,
pp. 1629-1644
Persistent link: https://www.econbiz.de/10011791598
Saved in:
6
Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models
Tunaru, Diana
- In:
International review of financial analysis
52
(
2017
),
pp. 119-129
Persistent link: https://www.econbiz.de/10011868716
Saved in:
7
Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu
;
Zheng, Teng
- In:
International review of financial analysis
53
(
2017
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
Saved in:
8
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
9
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
10
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
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