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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"
~subject:"ARCH-Modell"
~subject:"Correlation"
~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
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Estimation theory
610
Schätztheorie
610
Theorie
195
Theory
195
Time series analysis
144
Zeitreihenanalyse
144
Estimation
134
Schätzung
134
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113
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113
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93
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43
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Capital income
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28
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28
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81
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Lan, Wei
3
Tsai, Chih-Ling
3
Bauwens, Luc
2
Bodnar, Taras
2
Bollerslev, Tim
2
Fan, Jianqing
2
Ghysels, Eric
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Ling, Shiqing
2
Müller, Ulrich K.
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Tjostheim, Dag
2
Tsay, Ruey S.
2
Wang, Hansheng
2
Xiu, Dacheng
2
Yang, Xiye
2
Aielli, Gian Piero
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Bandi, Federico M.
1
Bibinger, Markus
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
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1
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1
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1
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1
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1
Chen, Xiangjin B.
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1
Cui, Guowei
1
Dias, Gustavo Fruet
1
Duan, Jin-Chuan
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
183
Economics letters
61
Econometric theory
60
Discussion paper / Tinbergen Institute
41
Econometric reviews
38
Journal of empirical finance
31
The econometrics journal
30
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
CREATES research paper
26
Finance research letters
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of financial econometrics
23
Econometrics : open access journal
22
International journal of forecasting
21
Journal of banking & finance
21
Journal of the American Statistical Association : JASA
21
Cambridge working papers in economics
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Journal of forecasting
20
Economic modelling
19
Quantitative finance
19
SFB 649 discussion paper
19
Applied economics letters
18
Computational economics
18
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15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
Journal of risk
14
CORE discussion papers : DP
13
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of mathematical finance
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Working paper / Department of Econometrics and Business Statistics, Monash University
13
Journal of time series econometrics
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
The European journal of finance
12
Working paper / National Bureau of Economic Research, Inc.
12
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
11
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11
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ECONIS (ZBW)
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1
An econometric analysis of volatility discovery
Dias, Gustavo Fruet
;
Papailias, Fotis
;
Scherrer, Cristina
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
Saved in:
2
Optimal shrinkage-based portfolio selection in high dimensions
Bodnar, Taras
;
Okhrin, Yarema
;
Parolya, Nestor
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10013540653
Saved in:
3
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:
4
A robust approach to heteroscedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data
Cui, Guowei
;
Hayakawa, Kazuhiko
;
Nagata, Shuichi
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 862-875
Persistent link: https://www.econbiz.de/10014448451
Saved in:
5
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:
6
The incidental parameters problem in testing for remaining cross-section correlation
Juodis, Artūras
;
Reese, Simon
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1191-1203
Persistent link: https://www.econbiz.de/10013539484
Saved in:
7
Covariance model with general linear structure and divergent parameters
Fan, Xinyan
;
Lan, Wei
;
Zou, Tao
;
Tsai, Chih-Ling
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 36-48
Persistent link: https://www.econbiz.de/10014448670
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
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:
10
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
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