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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~type_genre:"Conference paper"
~type_genre:"Thesis"
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Search: subject_exact:"Estimation theory"
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Subject
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Volatility
Estimation theory
1,751
Schätztheorie
1,751
Theorie
386
Theory
386
Time series analysis
367
Zeitreihenanalyse
367
Nichtparametrisches Verfahren
323
Nonparametric statistics
323
Regression analysis
285
Regressionsanalyse
283
Estimation
237
Schätzung
233
Forecasting model
186
Prognoseverfahren
186
Panel
158
Panel study
158
Statistical test
153
Statistischer Test
153
Volatilität
130
Method of moments
98
Momentenmethode
97
Induktive Statistik
83
Statistical inference
83
Autocorrelation
80
Autokorrelation
80
Maximum likelihood estimation
80
Maximum-Likelihood-Schätzung
80
Bootstrap approach
73
Bootstrap-Verfahren
73
Cointegration
69
Statistical distribution
69
Statistische Verteilung
69
Instrumental variables
68
Kointegration
68
Bayes-Statistik
67
Bayesian inference
67
Stochastic process
65
Stochastischer Prozess
65
ARCH model
63
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Undetermined
87
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Article
130
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Article in journal
Conference paper
Thesis
Aufsatz in Zeitschrift
130
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English
130
Author
All
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Meddahi, Nour
3
Park, Joon Y.
3
Patton, Andrew J.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Bauwens, Luc
2
Clements, Adam
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Guodong
2
Li, Wai Keung
2
Otranto, Edoardo
2
Potiron, Yoann
2
Sheppard, Kevin
2
Wang, Bin
2
Xiu, Dacheng
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Zheng, Xu
2
Zhu, Ke
2
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International journal of forecasting
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
15
Econometric theory
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
The European journal of finance
5
The journal of risk model validation
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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ECONIS (ZBW)
130
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130
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
7
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
Saved in:
8
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
9
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
10
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
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