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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Forecasting model"
~subject:"Statistical test"
~subject:"Statistischer Test"
~type_genre:"Systematic review"
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Search: subject_exact:"Estimation theory"
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Volatility
Forecasting model
Statistical test
Statistischer Test
Estimation theory
107
Schätztheorie
107
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
15
Regressionsanalyse
15
Cointegration
13
Kointegration
13
Markov chain
11
Markov-Kette
11
Monte Carlo simulation
11
Monte-Carlo-Simulation
11
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Stochastic process
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Stochastischer Prozess
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Bayes-Statistik
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Bayesian inference
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VAR model
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VAR-Modell
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Statistical distribution
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cointegration
8
Nichtlineare Regression
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Nonlinear regression
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Article in journal
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English
30
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Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Bekiros, Stelios
1
Bera, Anil K.
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
Donfack, Morvan Nongni
1
Doğan, Osman
1
Dufays, Arnaud
1
Enders, Walter
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Gil-Alaña, Luis A.
1
Goutte, Stéphane
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
Kraicová, Lucie
1
Kristensen, Johannes Tang
1
Lahiri, Kajal
1
Lee, Cheng-Feng
1
Lee, Hyejin
1
Lee, Junsoo
1
Lee, Kyungsub
1
Leybourne, Stephen James
1
Li, Jing
1
Licht, Adrian
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
312
International journal of forecasting
118
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
116
Econometric reviews
85
Economics letters
83
Journal of forecasting
75
Econometric theory
66
The econometrics journal
55
Economic modelling
37
Journal of empirical finance
36
Econometrics : open access journal
31
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
26
Journal of the American Statistical Association : JASA
26
Journal of financial econometrics
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Applied economics letters
23
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Finance research letters
22
Quantitative finance
22
Computational economics
20
Journal of banking & finance
20
Quantitative economics : QE ; journal of the Econometric Society
20
European journal of operational research : EJOR
19
Insurance / Mathematics & economics
18
Journal of time series econometrics
18
Applied economics
17
Empirical economics : a quarterly journal of the Institute for Advanced Studies
16
Journal of risk and financial management : JRFM
15
Journal of applied econometrics
14
Oxford bulletin of economics and statistics
14
Risks : open access journal
14
International journal of theoretical and applied finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Journal of mathematical finance
11
Journal of quantitative economics
11
International Journal of Energy Economics and Policy : IJEEP
10
International journal of economics and financial issues : IJEFI
10
Journal of financial economics
10
The European journal of finance
10
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ECONIS (ZBW)
30
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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
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
6
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:
7
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:
8
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:
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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