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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~subject:"Bayesian inference"
~subject:"Estimation"
~subject:"Statistical distribution"
~type_genre:"Thesis"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Estimation
Statistical distribution
Estimation theory
1,601
Schätztheorie
1,601
Theorie
366
Theory
366
Nichtparametrisches Verfahren
312
Nonparametric statistics
312
Time series analysis
304
Zeitreihenanalyse
304
Regression analysis
264
Regressionsanalyse
264
Schätzung
212
Panel
156
Panel study
156
Statistical test
148
Statistischer Test
148
Volatilität
116
Method of moments
98
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97
Induktive Statistik
82
Statistical inference
82
Maximum likelihood estimation
78
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78
Autocorrelation
76
Autokorrelation
76
Forecasting model
73
Prognoseverfahren
73
Bootstrap approach
71
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71
Instrumental variables
68
Cointegration
63
Kointegration
62
Stochastic process
61
Stochastischer Prozess
61
Causality analysis
59
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59
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59
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57
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1
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367
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9
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367
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Todorov, Viktor
10
Phillips, Peter C. B.
8
Tauchen, George Eugene
8
Linton, Oliver
7
Andersen, Torben
6
Gao, Jiti
6
Li, Jia
6
Park, Joon Y.
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Su, Liangjun
5
White, Halbert
5
Zakoïan, Jean-Michel
5
Zhang, Xinyu
5
Aït-Sahalia, Yacine
4
Baltagi, Badi H.
4
Gallant, A. Ronald
4
Gouriéroux, Christian
4
Hong, Han
4
Lu, Xun
4
Mykland, Per A.
4
Zhang, Lan
4
Zou, Guohua
4
Bollerslev, Tim
3
Cai, Zongwu
3
Callaway, Brantly
3
Fan, Jianqing
3
Hsiao, Cheng
3
Jasiak, Joann
3
Kitagawa, Toru
3
Koopman, Siem Jan
3
Li, Guodong
3
Li, Kunpeng
3
Meddahi, Nour
3
Racine, Jeffrey
3
Shephard, Neil G.
3
Sun, Yiguo
3
Varneskov, Rasmus Tangsgaard
3
Veredas, David
3
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
180
Economics letters
150
Econometric reviews
94
Economic modelling
71
Applied economics letters
64
Econometric theory
61
Insurance / Mathematics & economics
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
58
Journal of the American Statistical Association : JASA
52
The econometrics journal
52
Journal of applied econometrics
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Applied economics
48
International journal of forecasting
48
Econometrics : open access journal
42
Quantitative economics : QE ; journal of the Econometric Society
42
Journal of banking & finance
40
Journal of empirical finance
39
Computational economics
37
European journal of operational research : EJOR
37
Journal of forecasting
35
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
31
Statistics in transition : an international journal of the Polish Statistical Association
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Journal of financial econometrics
29
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
Journal of risk and financial management : JRFM
28
Finance research letters
27
Quantitative finance
27
Journal of economic dynamics & control
24
International journal of economics and financial issues : IJEFI
23
The review of economics and statistics
23
Energy economics
22
Journal of quantitative economics
20
Journal of risk
20
Risks : open access journal
19
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of productivity analysis
16
Oxford bulletin of economics and statistics
16
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ECONIS (ZBW)
367
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367
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1
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:
2
Penalized time-varying model averaging
Sun, Yuying
;
Hong, Yongmiao
;
Wang, Shouyang
;
Zhang, Xinyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1355-1377
Persistent link: https://www.econbiz.de/10014471396
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
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
5
Penetrating sporadic return predictability
Tu, Yundong
;
Xie, Xinling
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
Saved in:
6
Better bunching, nicer notching
Bertanha, Marinho
;
McCallum, Andrew H.
;
Seegert, Nathan
- In:
Journal of econometrics
237
(
2023
)
2,1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471509
Saved in:
7
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:
8
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
9
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:
10
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
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