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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 time series econometrics"
~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
649
Schätztheorie
649
Theorie
195
Theory
195
Time series analysis
177
Zeitreihenanalyse
177
Estimation
132
Schätzung
132
Nichtparametrisches Verfahren
112
Nonparametric statistics
112
Regression analysis
95
Regressionsanalyse
95
USA
93
United States
93
Statistical test
53
Statistischer Test
53
Forecasting model
49
Prognoseverfahren
49
Volatilität
45
Panel
42
Panel study
42
Induktive Statistik
41
Statistical inference
41
Correlation
36
Korrelation
36
ARCH model
35
Maximum likelihood estimation
32
Maximum-Likelihood-Schätzung
32
Capital income
31
Kapitaleinkommen
31
Bootstrap approach
30
Bootstrap-Verfahren
30
Statistical theory
29
Statistische Methodenlehre
29
Simulation
28
Method of moments
26
Momentenmethode
26
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25
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3
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Article
68
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Article in journal
Bibliografie enthalten
Non-commercial literature
Aufsatz in Zeitschrift
68
Bibliography included
1
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English
68
Author
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Arvanitis, Stelios
2
Asai, Manabu
2
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
Tsay, Ruey S.
2
Yang, Xiye
2
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
Bandi, Federico M.
1
Bibinger, Markus
1
Bluteau, Keven
1
Bodnar, Taras
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Boubaker, Heni
1
Buccheri, Giuseppe
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Jie
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Corsi, Fulvio
1
Dueker, Michael
1
Dēmos, Antōnēs A.
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Fan, Jianqing
1
Foster, F. Douglas
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of time series econometrics
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
Journal of forecasting
16
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
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)
68
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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
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
10
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
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