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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~subject:"Sampling"
~subject:"Statistische Verteilung"
~subject:"Stochastic process"
~subject:"Zeitreihenanalyse"
~type_genre:"Bibliografie"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Sampling
Statistische Verteilung
Stochastic process
Zeitreihenanalyse
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Volatilität
13
Correlation
9
Korrelation
9
Statistical test
9
Statistischer Test
9
ARCH model
8
ARCH-Modell
8
Forecasting model
8
Portfolio selection
8
Portfolio-Management
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Prognoseverfahren
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Statistical distribution
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Capital income
7
Kapitaleinkommen
7
Risikomaß
7
Risikoprämie
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Risk measure
7
Risk premium
7
Analysis of variance
6
CAPM
6
Robust statistics
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Robustes Verfahren
6
Stichprobenerhebung
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Varianzanalyse
6
Induktive Statistik
5
Statistical inference
5
Stochastischer Prozess
5
Börsenkurs
4
Regression analysis
4
Regressionsanalyse
4
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Article
31
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Article in journal
Bibliografie
Government document
Aufsatz in Zeitschrift
31
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English
31
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Kleibergen, Frank
4
Kong, Lingwei
4
Zhan, Zhaoguo
4
Khalaf, Lynda
2
Peñaranda, Francisco
2
Sancetta, Alessio
2
Zaffaroni, Paolo
2
Bauwens, Luc
1
Boudt, Kris
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chen, Feng
1
Cipollini, Fabrizio
1
Cornilly, Dries
1
Dahl, Christian M.
1
De Nard, Gianluca
1
Dunsmuir, William T.M.
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hecq, Alain W. J.
1
Hoga, Yannick
1
Hong, Seok Young
1
Huang, Haitao
1
Hung, Mao-Wei
1
Hurn, Stan
1
Iglesias, Emma M.
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Jung, Whayoung
1
Kim, Minjoo
1
Ko, Yi-Chen
1
Lee, Ji Hyung
1
Leng, Xuan
1
Lindsay, Kenneth A.
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Xiaohui
1
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Journal of financial econometrics
Journal of econometrics
456
Economics letters
198
Econometric theory
196
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
195
Econometric reviews
129
International journal of forecasting
80
Journal of the American Statistical Association : JASA
77
Journal of forecasting
67
Econometrics : open access journal
66
Applied economics letters
65
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
62
The econometrics journal
62
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
59
Insurance / Mathematics & economics
58
Economic modelling
57
Statistics in transition : an international journal of the Polish Statistical Association
56
Applied economics
50
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
49
Journal of empirical finance
46
Journal of applied econometrics
44
Computational economics
43
Journal of time series econometrics
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Série des documents de travail / Centre de Recherche en Économie et Statistique
33
European journal of operational research : EJOR
32
Oxford bulletin of economics and statistics
30
Journal of risk and financial management : JRFM
29
Finance research letters
28
Journal of banking & finance
26
Statistical papers
26
Quantitative economics : QE ; journal of the Econometric Society
25
The review of economics and statistics
24
Quantitative finance
21
International journal of theoretical and applied finance
18
Journal of mathematical finance
18
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
18
The North American journal of economics and finance : a journal of financial economics studies
18
Empirical economics : a quarterly journal of the Institute for Advanced Studies
17
International journal of economics and financial issues : IJEFI
17
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ECONIS (ZBW)
31
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
3
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
4
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
5
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
Saved in:
6
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
7
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
8
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
9
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
10
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
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