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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Portfolio selection"
~subject:"Regressionsanalyse"
~subject:"Statistischer Test"
~subject:"Theorie"
~type_genre:"Conference paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Portfolio selection
Regressionsanalyse
Statistischer Test
Theorie
Estimation theory
175
Schätztheorie
175
Time series analysis
69
Zeitreihenanalyse
69
Estimation
48
Schätzung
48
Volatilität
33
ARCH model
28
ARCH-Modell
28
Regression analysis
21
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Capital income
18
Kapitaleinkommen
18
Statistical test
16
Stochastic process
16
Stochastischer Prozess
16
Cointegration
15
Forecasting model
15
Kointegration
15
Prognoseverfahren
15
Börsenkurs
12
Risikomaß
12
Risk measure
12
Share price
12
Theory
12
Monte Carlo simulation
11
Monte-Carlo-Simulation
11
Correlation
10
Korrelation
10
Market microstructure
10
Markov chain
10
Markov-Kette
10
Marktmikrostruktur
10
Maximum likelihood estimation
9
Maximum-Likelihood-Schätzung
9
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82
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Article in journal
Conference paper
Aufsatz in Zeitschrift
82
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English
82
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Chen, Yi-ting
2
Teräsvirta, Timo
2
Abbara, Omar
1
Ahn, Seung Chan
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Atems, Bebonchu
1
Audrino, Francesco
1
Baldeaux, Jan
1
Balter, Janine
1
Baruník, Jozef
1
Bera, Anil K.
1
Bergtold, Jason
1
Billio, Monica
1
Birke, Melanie
1
Blazsek, Szabolcs
1
Bormann, Carsten
1
Bos, Charles S.
1
Bu, Ruijun
1
Caldeira, João F.
1
Carrasco, Marine
1
Chan, Jennifer So Kuen
1
Chen, Haiqiang
1
Chen, Jiaqin
1
Cheng, Jie
1
Chevallier, Julien
1
Chong, Terence Tai-Leung
1
Chu, Ba
1
Chuffart, Thomas
1
Chumacero, Rómulo A.
1
Corsi, Fulvio
1
Cuestas, Juan Carlos
1
Daníelsson, Jón
1
Dark, Jonathan Graeme
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De Angelis, Luca
1
Denuit, Michel
1
Donayre, Luiggi
1
Doğan, Osman
1
Eliasson, Ann-Charlotte
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
834
Economics letters
524
Econometric theory
409
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
355
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
256
Econometric reviews
251
Journal of applied econometrics
153
Journal of quantitative economics : official journal of the Indian Econometric Society
144
The review of economics and statistics
125
The econometrics journal
120
Oxford bulletin of economics and statistics
114
Journal of the American Statistical Association : JASA
104
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
93
Statistical papers
83
Journal of forecasting
72
Applied economics
69
The review of economic studies
67
Economic modelling
62
Annales d'économie et de statistique
59
International economic review
59
International journal of forecasting
59
Metrika : international journal for theoretical and applied statistics
57
Journal of empirical finance
53
American journal of agricultural economics
52
European journal of operational research : EJOR
52
Econometrics : open access journal
51
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
49
Journal of banking & finance
48
Journal of economic dynamics & control
41
Journal of the Royal Statistical Society
41
Applied economics letters
39
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
39
Quantitative economics : QE ; journal of the Econometric Society
38
Computational economics
37
International economic journal
36
Journal of productivity analysis
36
The Indian economic journal
36
Finance research letters
34
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ECONIS (ZBW)
82
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
A new test for non-linear hypotheses under distributional and local parametric misspecification
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 669-685
Persistent link: https://www.econbiz.de/10014506833
Saved in:
3
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Time-specific average estimation of dynamic panel regressions
Chu, Ba
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
Saved in:
6
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
7
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
Saved in:
8
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
9
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
10
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
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