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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:"Systematischer Fehler"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Systematischer Fehler
Estimation theory
102
Schätztheorie
102
Time series analysis
49
Zeitreihenanalyse
49
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
14
Regressionsanalyse
14
Cointegration
13
Kointegration
13
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11
Statistischer Test
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Nichtparametrisches Verfahren
10
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10
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9
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9
Markov chain
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Markov-Kette
9
Stochastic process
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Forecasting model
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Monte Carlo simulation
8
Monte-Carlo-Simulation
8
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cointegration
8
Nichtlineare Regression
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Nonlinear regression
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7
Structural break
7
Strukturbruch
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7
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Article in journal
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18
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Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Chan, Jennifer So Kuen
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Daníelsson, Jón
1
Enders, Walter
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Hou, Weijie
1
Iglesias, Emma M.
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
1
Kraicová, Lucie
1
Lee, Kyungsub
1
Li, Jing
1
Licht, Adrian
1
Niu, Wei-fang
1
Panopulu, Aikaterinē
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Peiris, Shelton
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Péguin-Feissolle, Anne
1
Silvennoinen, Annastiina
1
Song, Yuping
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Staněk, Filip
1
Teräsvirta, Timo
1
Thanakorn Nitithumbundit
1
Trifi, Amine
1
Zevallos, Mauricio
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
149
Economics letters
52
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Econometric reviews
30
Econometric theory
23
Journal of empirical finance
21
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Econometrics : open access journal
16
International journal of forecasting
16
Journal of banking & finance
15
Quantitative finance
15
Journal of financial econometrics
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
International journal of theoretical and applied finance
13
Finance research letters
12
Journal of forecasting
11
The North American journal of economics and finance : a journal of financial economics studies
11
Applied economics letters
10
Applied economics
9
Finance and stochastics
9
International journal of economics and financial issues : IJEFI
9
European journal of operational research : EJOR
8
Oxford bulletin of economics and statistics
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
Journal of mathematical finance
7
Journal of risk
7
CBN journal of applied statistics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Insurance / Mathematics & economics
6
International journal of financial engineering
6
Journal of applied econometrics
6
Journal of financial economics
6
Journal of quantitative economics
6
Journal of time series econometrics
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ECONIS (ZBW)
18
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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
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:
3
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:
4
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:
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
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
Saved in:
7
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:
8
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
9
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Saved in:
10
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
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