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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:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"The econometrics journal"
~subject:"Time series analysis"
~subject:"Wahrscheinlichkeitsrechnung"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Wahrscheinlichkeitsrechnung
Estimation theory
682
Schätztheorie
682
Theorie
273
Theory
273
Zeitreihenanalyse
125
Nichtparametrisches Verfahren
104
Nonparametric statistics
104
Regression analysis
82
Regressionsanalyse
82
Estimation
77
Schätzung
77
Statistical test
60
Statistischer Test
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56
Panel study
56
Statistical theory
48
Statistische Methodenlehre
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36
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Volatilität
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Induktive Statistik
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Statistical inference
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Method of moments
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27
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Article
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Article in journal
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161
Conference paper
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English
161
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Phillips, Peter C. B.
5
Nelson, Daniel B.
4
Abadir, Karim Maher
3
Andrews, Donald W. K.
3
Hadri, Kaddour
3
Perron, Pierre
3
Stock, James H.
3
Tauchen, George Eugene
3
White, Halbert
3
Baillie, Richard
2
Dufour, Jean-Marie
2
Erickson, Timothy
2
Foster, Dean P.
2
Kapetanios, George
2
Li, Jia
2
Li, Jing
2
Newey, Whitney K.
2
Sims, Christopher A.
2
Teräsvirta, Timo
2
Tzavalis, Elias
2
Uhlig, Harald
2
Velasco, Carlos
2
Watson, Mark W.
2
Abbara, Omar
1
Alvarez, Javier
1
Anatolyev, Stanislav
1
Arellano, Manuel
1
Back, Kerry E.
1
Bai, Jushan
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bekiros, Stelios
1
Bierens, Herman J.
1
Blazsek, Szabolcs
1
Brown, David P.
1
Bu, Ruijun
1
Camerer, Colin
1
Camponovo, Lorenzo
1
Carnero, M. Angeles
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
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The econometrics journal
Journal of econometrics
387
Econometric theory
176
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
176
Economics letters
164
Econometric reviews
106
International journal of forecasting
77
Journal of forecasting
62
Applied economics letters
55
Econometrics : open access journal
52
Economic modelling
44
Journal of the American Statistical Association : JASA
41
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
40
Journal of time series econometrics
40
Applied economics
38
Computational economics
37
Journal of empirical finance
37
Journal of applied econometrics
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Oxford bulletin of economics and statistics
24
Finance research letters
23
Journal of risk and financial management : JRFM
23
Journal of banking & finance
21
European journal of operational research : EJOR
20
Statistics in transition : an international journal of the Polish Statistical Association
20
Journal of financial econometrics
18
Quantitative finance
18
The review of economic studies
18
Insurance / Mathematics & economics
17
Journal of economic dynamics & control
17
Quantitative economics : QE ; journal of the Econometric Society
17
International journal of economics and financial issues : IJEFI
16
Statistical papers
16
The North American journal of economics and finance : a journal of financial economics studies
16
The review of economics and statistics
16
Journal of macroeconomics
15
Journal of quantitative economics
15
International journal of theoretical and applied finance
14
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ECONIS (ZBW)
161
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca
;
Mazzali, Marco
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 126-150
Persistent link: https://www.econbiz.de/10014528100
Saved in:
5
Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.
;
Sun, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
Saved in:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
8
Bubble testing under polynomial trends
Wang, Xiaohu
;
Yu, Jun
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
Saved in:
9
Asymptotic properties of the maximum likelihood estimator in regime-switching models with time-varying transition probabilities
Li, Chaojun
;
Liu, Yan
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 67-87
Persistent link: https://www.econbiz.de/10013543277
Saved in:
10
Single step estimation of ARMA roots for nonfundamental nonstationary fractional models
Lobato, Ignacio N.
;
Velasco, Carlos
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 455-476
Persistent link: https://www.econbiz.de/10013253844
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