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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of mathematical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Statistical test"
~subject:"Statistischer Test"
~type_genre:"Systematic review"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Statistischer Test
Estimation theory
132
Schätztheorie
132
Time series analysis
55
Zeitreihenanalyse
55
Estimation
40
Schätzung
40
ARCH model
24
ARCH-Modell
24
Volatilität
24
Regression analysis
16
Regressionsanalyse
16
Stochastic process
16
Stochastischer Prozess
16
Statistical distribution
15
Statistische Verteilung
15
Capital income
14
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Cointegration
13
Kointegration
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Prognoseverfahren
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VAR-Modell
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Bayes-Statistik
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Bayesian inference
10
Börsenkurs
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9
Maximum likelihood estimation
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33
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Article in journal
Systematic review
Aufsatz in Zeitschrift
33
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English
33
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Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Bera, Anil K.
1
Bishwal, Jaya Prakasah Narayan
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Chan, Jennifer So Kuen
1
Chen, Yi-ting
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Chumacero, Rómulo A.
1
Cuestas, Juan Carlos
1
Daníelsson, Jón
1
Doğan, Osman
1
Enders, Walter
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Escribano, Álvaro
1
Esen, Halil Erturk
1
Flachaire, Emmanuel
1
Gil-Alaña, Luis A.
1
Ginley, Matthew
1
Goutte, Stéphane
1
Gumbo, Victor
1
Hadri, Kaddour
1
Harvey, David I.
1
Hou, Weijie
1
Im, KyungSo
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
1
Koulis, Theodoro
1
Kraicová, Lucie
1
Lee, Cheng-Feng
1
Lee, Hyejin
1
Lee, Junsoo
1
Lee, Kyungsub
1
Leybourne, Stephen James
1
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Journal of mathematical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
256
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Econometric reviews
76
Economics letters
66
Econometric theory
56
The econometrics journal
46
Economic modelling
31
Econometrics : open access journal
27
Journal of empirical finance
24
Journal of financial econometrics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
International journal of forecasting
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Quantitative economics : QE ; journal of the Econometric Society
20
Applied economics letters
18
Journal of banking & finance
17
Quantitative finance
17
Finance research letters
15
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
International journal of theoretical and applied finance
13
Journal of time series econometrics
13
Computational economics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Applied economics
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Journal of applied econometrics
10
European journal of operational research : EJOR
9
Finance and stochastics
9
The European journal of finance
9
International journal of economics and financial issues : IJEFI
8
Oxford bulletin of economics and statistics
8
Cambridge working papers in economics
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of financial economics
7
Journal of quantitative economics
7
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ECONIS (ZBW)
33
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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
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:
6
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
Saved in:
7
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:
8
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
9
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
10
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
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