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subject:"Volatility"
type_genre:"Article in journal"
~person:"Allenby, Greg M."
~person:"Koopman, Siem Jan"
~person:"Liu, Zhi"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH-Modell"
~subject:"Bayesian inference"
~subject:"Forecasting model"
~subject:"Maximum likelihood estimation"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Bayesian inference
Forecasting model
Maximum likelihood estimation
Estimation theory
53
Schätztheorie
53
Time series analysis
19
Zeitreihenanalyse
19
Volatilität
17
ARCH model
16
Estimation
13
Schätzung
13
Theorie
12
Theory
12
Maximum-Likelihood-Schätzung
9
Bayes-Statistik
8
Börsenkurs
6
Prognoseverfahren
6
Risikomaß
6
Risk measure
6
Share price
6
Stochastic process
6
Stochastischer Prozess
6
Bayesian estimation
4
Capital income
4
Kapitaleinkommen
4
Market microstructure
4
Marktmikrostruktur
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
Central limit theorem
3
Conjoint analysis
3
Conjoint-Analyse
3
Consistency
3
Induktive Statistik
3
Kalman filter
3
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Article in journal
Aufsatz in Zeitschrift
37
Aufsatz im Buch
2
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2
Language
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English
37
Author
All
Allenby, Greg M.
Koopman, Siem Jan
Liu, Zhi
Zakoïan, Jean-Michel
Tsionas, Efthymios G.
22
Lee, Lung-fei
21
Francq, Christian
20
Kumar, Dilip
16
Maheswaran, S.
14
Tauchen, George Eugene
12
Teräsvirta, Timo
12
Todorov, Viktor
12
Zhang, Xinyu
12
Li, Jia
11
Linton, Oliver
10
Zhang, Xibin
10
Phillips, Peter C. B.
9
Taylor, Robert
9
Tsay, Ruey S.
9
Andersen, Torben
8
Cai, Zongwu
8
Hafner, Christian M.
8
Jin, Fei
8
Koop, Gary
8
Ling, Shiqing
8
Rahbek, Anders
8
Shang, Han Lin
8
Swanson, Norman R.
8
Wang, Shouyang
8
Baltagi, Badi H.
7
Chan, Ngai Hang
7
Demetrescu, Matei
7
Fan, Jianqing
7
Kim, Donggyu
7
Li, Dong
7
Li, Yingying
7
McAleer, Michael
7
Mykland, Per A.
7
Peng, Liang
7
Taylor, James W.
7
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Journal of econometrics
14
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
5
Econometric theory
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of the American Statistical Association : JASA
2
Annals of economics and statistics
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance and stochastics
1
International journal of forecasting
1
Journal of financial econometrics
1
Journal of marketing research : JMR
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
37
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37
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1
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
Saved in:
4
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
7
Inference for product competition and separable demand
Smith, Adam N.
;
Rossi, Peter E.
;
Allenby, Greg M.
- In:
Marketing science : the marketing journal of the …
38
(
2019
)
4
,
pp. 690-710
Persistent link: https://www.econbiz.de/10012059815
Saved in:
8
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
9
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
10
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
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