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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Estimation"
~subject:"Forecasting model"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Nachschlagewerk"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Forecasting model
Statistical distribution
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Schätzung
15
ARCH model
11
ARCH-Modell
11
Market microstructure
10
Marktmikrostruktur
10
Capital income
9
Kapitaleinkommen
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Risikomaß
9
Risk measure
9
Theorie
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Theory
9
Correlation
7
Korrelation
7
Prognoseverfahren
7
Regression analysis
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Regressionsanalyse
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Stochastic process
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Stochastischer Prozess
7
Börsenkurs
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Share price
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Analysis of variance
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Noise Trading
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Noise trading
5
Statistical test
5
Statistischer Test
5
Varianzanalyse
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CAPM
4
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4
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4
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4
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Article
30
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Article in journal
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Nachschlagewerk
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English
30
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Audrino, Francesco
2
Chen, Yi-ting
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Bu, Ruijun
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Corsi, Fulvio
1
Czellar, Veronika
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Frederiksen, Per
1
Ghysels, Eric
1
Giet, Ludovic
1
Gérard, Bruno
1
Hadri, Kaddour
1
Hassler, Uwe
1
Herwartz, Helmut
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Kadareja, Arjan
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Li, Yingying
1
Lubrano, Michel
1
Lv, Jinchi
1
Manganelli, Simone
1
Moon, Seongman
1
Moura, Guilherme Valle
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
376
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
204
Economics letters
156
International journal of forecasting
120
Econometric reviews
98
Journal of forecasting
83
Econometric theory
70
Economic modelling
69
Applied economics letters
64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
64
Insurance / Mathematics & economics
62
The econometrics journal
57
Applied economics
53
Journal of the American Statistical Association : JASA
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Journal of applied econometrics
47
Journal of empirical finance
46
Journal of banking & finance
41
Econometrics : open access journal
40
European journal of operational research : EJOR
39
Computational economics
38
Empirical economics : a quarterly journal of the Institute for Advanced Studies
34
Finance research letters
34
Quantitative economics : QE ; journal of the Econometric Society
33
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
32
Journal of financial econometrics
31
Statistics in transition : an international journal of the Polish Statistical Association
31
Journal of risk and financial management : JRFM
29
Quantitative finance
29
Risks : open access journal
25
The review of economics and statistics
25
International journal of economics and financial issues : IJEFI
24
Energy economics
22
Journal of economic dynamics & control
22
Journal of risk
21
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of quantitative economics
18
Oxford bulletin of economics and statistics
18
The empirical economics letters : a monthly international journal of economics
18
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ECONIS (ZBW)
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1
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
4
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
5
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
8
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
9
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
10
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
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