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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH-Modell"
~subject:"Schätztheorie"
~subject:"Schätzung"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Schätztheorie
Schätzung
Estimation theory
138
Time series analysis
59
Zeitreihenanalyse
59
Estimation
45
Volatilität
32
ARCH model
18
Forecasting model
17
Prognoseverfahren
17
Stochastic process
16
Stochastischer Prozess
16
Cointegration
15
Kointegration
15
Regression analysis
15
Regressionsanalyse
15
Börsenkurs
13
Capital income
13
Kapitaleinkommen
13
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Share price
13
Statistical test
13
Statistischer Test
13
Markov chain
11
Markov-Kette
11
Monte Carlo simulation
11
Monte-Carlo-Simulation
11
Portfolio selection
11
Portfolio-Management
11
Statistical distribution
11
Statistische Verteilung
11
Option pricing theory
9
Optionspreistheorie
9
Autocorrelation
8
Autokorrelation
8
Risikomaß
8
Risk measure
8
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Undetermined
130
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Article
138
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Article in journal
Bibliografie enthalten
Aufsatz in Zeitschrift
138
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English
138
Author
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Iglesias, Emma M.
3
Enders, Walter
2
Lee, Junsoo
2
Li, Jing
2
Pavlidis, Efthymios G.
2
Ren, Yu
2
Schweikert, Karsten
2
Teräsvirta, Timo
2
Tsiotas, Georgios
2
Xie, Tian
2
Yu, Philip L. H.
2
Abbara, Omar
1
Achab, Massil
1
Ali, Abdul Aziz
1
Anatolyev, Stanislav
1
Atems, Bebonchu
1
Bacry, E.
1
Baillie, Richard
1
Baldeaux, Jan
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bayer, Christian
1
Behrendt, Simon
1
Bekiros, Stelios
1
Bera, Anil K.
1
Bergtold, Jason
1
Blazsek, Szabolcs
1
Breneis, Simon
1
Broby, Daniel
1
Bu, Ruijun
1
Buccheri, G.
1
Byoung Hark Yoo
1
Bårdsen, Gunnar
1
Caccioli, Fabio
1
Canabarro, Askery
1
Candelon, Bertrand
1
Cang, Yuquan
1
Capriotti, Luca
1
Carnero, M. Angeles
1
Chan, Jennifer So Kuen
1
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Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
1,601
Economics letters
961
Econometric theory
723
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
590
Econometric reviews
436
Journal of the American Statistical Association : JASA
324
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
312
The econometrics journal
268
Journal of applied econometrics
218
Applied economics letters
197
Oxford bulletin of economics and statistics
187
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
186
European journal of operational research : EJOR
177
Applied economics
169
Journal of quantitative economics : official journal of the Indian Econometric Society
166
International journal of forecasting
150
Econometrics : open access journal
146
The review of economics and statistics
145
Economic modelling
136
Quantitative economics : QE ; journal of the Econometric Society
127
Journal of forecasting
123
Insurance / Mathematics & economics
117
Computational economics
107
Statistical papers
102
Statistics in transition : an international journal of the Polish Statistical Association
96
Journal of economic dynamics & control
88
The review of economic studies
86
American journal of agricultural economics
77
Journal of banking & finance
74
Journal of empirical finance
74
Journal of financial econometrics : official journal of the Society for Financial Econometrics
73
International economic review
70
Annales d'économie et de statistique
69
Metrika : international journal for theoretical and applied statistics
68
Finance research letters
62
Operations research
62
Empirical economics : a quarterly journal of the Institute for Advanced Studies
61
Journal of productivity analysis
61
Journal of risk and financial management : JRFM
60
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ECONIS (ZBW)
138
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1
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
Saved in:
2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
3
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
4
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
5
A note on spurious model selection
Wang, Weiguan
;
Ruf, Johannes
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1797-1800
Persistent link: https://www.econbiz.de/10013367947
Saved in:
6
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:
7
Fast maximum likelihood estimation of parameters for square root and Bessel processes
Fergusson, Kevin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 143-170
Persistent link: https://www.econbiz.de/10012657679
Saved in:
8
Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.
;
Sun, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
Saved in:
9
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
10
Panel data models with two threshold variables
Lamadrid-Contreras, Arturo
;
Ramírez-Rondán, Nelson R.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
3
,
pp. 315-333
Persistent link: https://www.econbiz.de/10014372881
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