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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Time series analysis"
~subject:"USA"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
USA
Zeitreihenanalyse
Estimation theory
1,847
Schätztheorie
1,847
Theorie
384
Theory
384
Nichtparametrisches Verfahren
337
Nonparametric statistics
337
Estimation
305
Regression analysis
300
Regressionsanalyse
300
Schätzung
300
Panel
174
Panel study
174
Statistical test
173
Statistischer Test
173
Volatilität
150
Method of moments
106
Momentenmethode
105
Maximum likelihood estimation
92
Maximum-Likelihood-Schätzung
92
Cointegration
91
Kointegration
90
Forecasting model
89
Prognoseverfahren
89
Autocorrelation
88
Autokorrelation
88
Induktive Statistik
84
Statistical inference
84
Stochastic process
84
Stochastischer Prozess
84
Bootstrap approach
81
Bootstrap-Verfahren
81
ARCH model
76
ARCH-Modell
76
Bayes-Statistik
76
Bayesian inference
76
Instrumental variables
71
Statistical distribution
70
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271
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1
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Article
492
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1
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Article in journal
Aufsatz in Zeitschrift
493
Collection of articles of several authors
6
Sammelwerk
6
Conference paper
2
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2
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2
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English
493
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Phillips, Peter C. B.
11
Todorov, Viktor
10
Taylor, Robert
9
Leybourne, Stephen James
8
Linton, Oliver
8
Andersen, Torben
7
Li, Jia
7
Tauchen, George Eugene
7
Francq, Christian
6
Zhu, Ke
6
Aït-Sahalia, Yacine
5
Chen, Xiaohong
5
Davis, Richard A.
5
Harvey, David I.
5
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Qi
5
Li, Yingying
5
Mykland, Per A.
5
Robinson, Peter M.
5
Xiao, Zhijie
5
Zakoïan, Jean-Michel
5
Baillie, Richard
4
Baltagi, Badi H.
4
Bollerslev, Tim
4
Chambers, Marcus J.
4
Kumar, Dilip
4
Li, Dong
4
Ng, Serena
4
Park, Joon Y.
4
Pesaran, M. Hashem
4
Sun, Yixiao
4
Teräsvirta, Timo
4
Varneskov, Rasmus Tangsgaard
4
Zhang, Lan
4
Chen, Rong
3
Demetrescu, Matei
3
Dong, Chaohua
3
Elliott, Graham
3
Fan, Jianqing
3
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Economic modelling
Journal of econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
227
Econometric theory
171
Economics letters
166
Econometric reviews
100
International journal of forecasting
75
Journal of forecasting
65
Applied economics letters
56
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
55
Journal of applied econometrics
53
The review of economics and statistics
53
Econometrics : open access journal
51
Applied economics
46
The econometrics journal
46
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Journal of the American Statistical Association : JASA
41
Journal of empirical finance
40
Journal of time series econometrics
40
Computational economics
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Oxford bulletin of economics and statistics
29
Journal of banking & finance
26
American journal of agricultural economics
24
Finance research letters
24
Journal of risk and financial management : JRFM
21
The review of economic studies
21
Journal of macroeconomics
20
The journal of futures markets
20
Journal of financial econometrics
18
Quantitative finance
18
Journal of economic dynamics & control
17
International economic review
16
International journal of economics and financial issues : IJEFI
16
Journal of financial and quantitative analysis : JFQA
16
The North American journal of economics and finance : a journal of financial economics studies
16
The journal of finance : the journal of the American Finance Association
16
International journal of theoretical and applied finance
15
Quantitative economics : QE ; journal of the Econometric Society
15
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ECONIS (ZBW)
493
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493
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1
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:
2
Matrix autoregressive models : generalization and Bayesian estimation
Celani, Alessandro
;
Pagnottoni, Paolo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 227-248
Persistent link: https://www.econbiz.de/10014631918
Saved in:
3
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:
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
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
Saved in:
7
What's trending in difference-in-differences? : a synthesis of the recent econometrics literature
Roth, Jonathan
;
Sant'Anna, Pedro H. C.
;
Bilinski, Alyssa
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2218-2244
Persistent link: https://www.econbiz.de/10014471452
Saved in:
8
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
9
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
10
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
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