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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:"Regressionsanalyse"
~subject:"Statistischer Test"
~subject:"Theorie"
~subject:"Zeitreihenanalyse"
~type_genre:"Conference paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Regressionsanalyse
Statistischer Test
Theorie
Zeitreihenanalyse
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Volatilität
16
Estimation
15
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
Theory
9
Correlation
7
Forecasting model
7
Korrelation
7
Prognoseverfahren
7
Regression analysis
7
Stochastic process
7
Stochastischer Prozess
7
Börsenkurs
6
Share price
6
Analysis of variance
5
Noise Trading
5
Noise trading
5
Statistical test
5
Varianzanalyse
5
CAPM
4
Multivariate Analyse
4
Multivariate analysis
4
Portfolio selection
4
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Article
43
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1
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Article in journal
Conference paper
Aufsatz in Zeitschrift
44
Collection of articles of several authors
1
Conference proceedings
1
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1
Sammelwerk
1
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English
44
Author
All
Corsi, Fulvio
2
Engle, Robert F.
2
Frederiksen, Per
2
Ahn, Seung Chan
1
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Billio, Monica
1
Birke, Melanie
1
Bormann, Carsten
1
Bos, Charles S.
1
Caldeira, João F.
1
Candelon, Bertrand
1
Carrasco, Marine
1
Chen, Yi-ting
1
Christensen, Kim
1
Colletaz, Gilbert
1
Di, Jianing
1
Fan, Jianqing
1
Fan, Yingying
1
Ferreira, Eva
1
Francq, Christian
1
Gadarowski, Christopher
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Gil-Bazo, Javier
1
Giordani, Paolo
1
Gonzalo, Jesús
1
Gregory, Allan W.
1
Hassler, Uwe
1
Herwartz, Helmut
1
Hill, Jonathan B.
1
Horváth, Lajos
1
Hsieh, Chih-sheng
1
Hurlin, Christophe
1
Hurn, Stan
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Jeisman, J. I.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
976
Economics letters
577
Econometric theory
491
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
395
Econometric reviews
294
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
257
Journal of applied econometrics
158
Journal of quantitative economics : official journal of the Indian Econometric Society
145
The econometrics journal
137
Journal of the American Statistical Association : JASA
133
The review of economics and statistics
126
Oxford bulletin of economics and statistics
122
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
109
International journal of forecasting
102
Journal of forecasting
94
Applied economics
88
Econometrics : open access journal
83
Statistical papers
83
Applied economics letters
81
Economic modelling
78
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
71
The review of economic studies
69
Annales d'économie et de statistique
59
International economic review
59
Computational economics
58
Metrika : international journal for theoretical and applied statistics
57
American journal of agricultural economics
55
Journal of empirical finance
53
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
49
Journal of time series econometrics
46
Quantitative economics : QE ; journal of the Econometric Society
46
Journal of economic dynamics & control
44
European journal of operational research : EJOR
42
Journal of the Royal Statistical Society
42
Journal of banking & finance
39
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
39
International economic journal
36
Journal of productivity analysis
36
Journal of risk and financial management : JRFM
36
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ECONIS (ZBW)
44
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1
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
2
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:
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
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:
8
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:
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
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
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