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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of forecasting"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
715
Schätztheorie
715
Theorie
240
Theory
240
Time series analysis
192
Zeitreihenanalyse
192
Estimation
145
Schätzung
145
Forecasting model
116
Prognoseverfahren
116
Nichtparametrisches Verfahren
112
Nonparametric statistics
112
Regression analysis
107
Regressionsanalyse
107
USA
101
United States
101
Volatilität
52
Statistical test
47
Statistischer Test
47
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42
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42
Panel study
42
Statistical inference
42
Correlation
40
Korrelation
40
Capital income
38
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38
ARCH model
36
Maximum likelihood estimation
33
Maximum-Likelihood-Schätzung
33
Statistical theory
30
Statistische Methodenlehre
30
Bayes-Statistik
29
Bayesian inference
29
Bootstrap approach
29
Bootstrap-Verfahren
29
Simulation
29
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28
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Article
73
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Article in journal
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Non-commercial literature
Aufsatz in Zeitschrift
73
Bibliography included
1
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English
73
Author
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Bauwens, Luc
2
Bollerslev, Tim
2
Ghysels, Eric
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Ling, Shiqing
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Taylor, James W.
2
Tsay, Ruey S.
2
Yang, Xiye
2
Abraham, Bovas
1
Aielli, Gian Piero
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Ardia, David
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Balakrishna, N.
1
Bandi, Federico M.
1
Ben-Zion, Uri
1
Bibinger, Markus
1
Blanco-Fernández, Ángela
1
Bodnar, Taras
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Buccheri, Giuseppe
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Bei
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Corsi, Fulvio
1
Dueker, Michael
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Fan, Jianqing
1
Fei, Tianlun
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of forecasting
Journal of econometrics
141
Econometric theory
48
Economics letters
38
Discussion paper / Tinbergen Institute
35
Econometric reviews
32
Journal of empirical finance
29
CREATES research paper
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of banking & finance
17
Journal of financial econometrics
17
Quantitative finance
16
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
SFB 649 discussion paper
11
Applied economics letters
10
CORE discussion papers : DP
9
The European journal of finance
9
Finance and stochastics
8
The journal of risk model validation
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working papers
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
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ECONIS (ZBW)
73
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73
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1
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
3
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
4
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
5
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
6
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
7
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Saved in:
8
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
9
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
10
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
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