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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:"Schätzung"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Schätzung
Estimation theory
138
Schätztheorie
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
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Regressionsanalyse
15
Börsenkurs
13
Capital income
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Monte Carlo simulation
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Statistical distribution
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Statistische Verteilung
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Option pricing theory
9
Optionspreistheorie
9
Autocorrelation
8
Autokorrelation
8
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8
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8
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Article
69
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Article in journal
Bibliografie enthalten
Aufsatz in Zeitschrift
69
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English
69
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Enders, Walter
2
Li, Jing
2
Abbara, Omar
1
Achab, Massil
1
Anatolyev, Stanislav
1
Bacry, E.
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bayer, Christian
1
Behrendt, Simon
1
Blazsek, Szabolcs
1
Breneis, Simon
1
Bu, Ruijun
1
Buccheri, G.
1
Byoung Hark Yoo
1
Canabarro, Askery
1
Candelon, Bertrand
1
Cang, Yuquan
1
Carnero, M. Angeles
1
Chan, Jennifer So Kuen
1
Chan, Joshua
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Cheng, Jie
1
Chevallier, Julien
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chu, Ba
1
Chuffart, Thomas
1
Chung, Munki
1
Daníelsson, Jón
1
Dark, Jonathan Graeme
1
De Angelis, Luca
1
Donfack, Morvan Nongni
1
Dufays, Arnaud
1
Eisenstat, Eric
1
Ericsson, Neil R.
1
Escribano, Álvaro
1
Fabozzi, Frank J.
1
Falk, Barry
1
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Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
305
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
160
Economics letters
133
Econometric reviews
79
Econometric theory
68
Applied economics letters
61
Economic modelling
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Applied economics
51
The econometrics journal
45
Journal of applied econometrics
41
Journal of empirical finance
40
Journal of banking & finance
38
International journal of forecasting
34
Journal of forecasting
31
Quantitative economics : QE ; journal of the Econometric Society
31
Econometrics : open access journal
30
Computational economics
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Journal of the American Statistical Association : JASA
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
International journal of economics and financial issues : IJEFI
27
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
26
Finance research letters
25
Journal of financial econometrics
25
The review of economics and statistics
23
Journal of risk and financial management : JRFM
22
Energy economics
21
European journal of operational research : EJOR
21
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of risk
18
Insurance / Mathematics & economics
17
Journal of economic dynamics & control
16
The European journal of finance
15
International journal of theoretical and applied finance
14
The empirical economics letters : a monthly international journal of economics
14
Applied financial economics
13
Journal of mathematical finance
13
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ECONIS (ZBW)
69
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
10
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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