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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:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Zeitreihenanalyse
Estimation theory
590
Schätztheorie
590
Theorie
195
Theory
195
Time series analysis
138
Estimation
127
Schätzung
127
Nichtparametrisches Verfahren
109
Nonparametric statistics
109
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93
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93
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89
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89
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43
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35
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Statistical theory
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26
Bootstrap-Verfahren
26
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26
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25
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25
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Article in journal
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English
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Ghysels, Eric
4
Su, Liangjun
4
Franses, Philip Hans
3
Gao, Jiti
3
Tsay, Ruey S.
3
Bauwens, Luc
2
Bera, Anil K.
2
Bollerslev, Tim
2
Engle, Robert F.
2
Escanciano, Juan Carlos
2
González-Rivera, Gloria
2
Hautsch, Nikolaus
2
Higgins, Matthew Lawrence
2
Jing, Bingyi
2
Koop, Gary
2
Li, Dong
2
Ling, Shiqing
2
Lucas, André
2
Lütkepohl, Helmut
2
Nielsen, Morten Ørregaard
2
Peng, Bin
2
Russell, Jeffrey R.
2
Shao, Xiaofeng
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Song, Xiaojun
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Taylor, Robert
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Tjostheim, Dag
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Ullah, Aman
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Westerlund, Joakim
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Yang, Xiye
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Zhu, Ke
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1
Andersen, Torben
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
364
Econometric theory
167
Economics letters
151
Econometric reviews
96
International journal of forecasting
69
Journal of forecasting
61
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Applied economics letters
53
Econometrics : open access journal
51
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
44
Economic modelling
44
The econometrics journal
43
Journal of time series econometrics
40
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37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of empirical finance
37
Journal of the American Statistical Association : JASA
37
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35
Journal of applied econometrics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Oxford bulletin of economics and statistics
23
Finance research letters
21
Journal of banking & finance
21
Journal of risk and financial management : JRFM
21
Journal of financial econometrics
18
Quantitative finance
17
International journal of economics and financial issues : IJEFI
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of macroeconomics
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The review of economics and statistics
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International journal of theoretical and applied finance
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Journal of economic dynamics & control
14
Quantitative economics : QE ; journal of the Econometric Society
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Journal of quantitative economics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
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11
Central European journal of economic modelling and econometrics
10
European journal of operational research : EJOR
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91
Long-run identification in a fractionally integrated system
Tschernig, Rolf
;
Weber, Enzo
;
Weigand, Roland
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 438-450
Persistent link: https://www.econbiz.de/10010337858
Saved in:
92
Automatic specification testing for vector autoregressions and multivariate nonlinear time series models
Escanciano, Juan Carlos
;
Lobato, Ignacio N.
;
Zhu, Lin
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
4
,
pp. 426-437
Persistent link: https://www.econbiz.de/10010337859
Saved in:
93
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus
;
Podolskij, Mark
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Saved in:
94
Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
Saved in:
95
Least squares infernce on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar
;
Voev, Valeri
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
1
,
pp. 94-108
Persistent link: https://www.econbiz.de/10009558954
Saved in:
96
VAR estimation and forecasting when data are subject to revision
Kishor, N. Kundan
;
Koenig, Evan F.
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
2
,
pp. 181-190
Persistent link: https://www.econbiz.de/10009657372
Saved in:
97
Autocontours : dynamic specification testing
González-Rivera, Gloria
;
Senyuz, Zeynep
;
Yoldas, Emre
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 186-200
Persistent link: https://www.econbiz.de/10009159087
Saved in:
98
Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong
;
Su, Liangjun
;
Ullah, Aman
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
Saved in:
99
Dynamic factor models for multivariate count data : an application to stock-market trading activity
Jung, Robert
;
Liesenfeld, Roman
;
Richard, Jean-François
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 73-85
Persistent link: https://www.econbiz.de/10009159117
Saved in:
100
Tilted nonparametric estimation of volatility functions with empirical applications
Xu, Ke-li
;
Phillips, Peter C. B.
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 518-528
Persistent link: https://www.econbiz.de/10009355632
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