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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:"Bayesian inference"
~subject:"Forecasting model"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Forecasting model
Estimation theory
53
Schätztheorie
53
Time series analysis
19
Zeitreihenanalyse
19
Volatilität
17
ARCH model
16
ARCH-Modell
16
Estimation
13
Schätzung
13
Theorie
12
Theory
12
Maximum likelihood estimation
9
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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17
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Article
27
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Article in journal
Aufsatz in Zeitschrift
27
Arbeitspapier
16
Graue Literatur
16
Non-commercial literature
16
Working Paper
16
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1
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English
27
Author
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Allenby, Greg M.
Koopman, Siem Jan
Liu, Zhi
Zakoïan, Jean-Michel
Kumar, Dilip
16
Tsionas, Efthymios G.
15
Maheswaran, S.
14
Teräsvirta, Timo
12
Todorov, Viktor
12
Zhang, Xinyu
12
Li, Jia
11
Tauchen, George Eugene
11
Zhang, Xibin
10
Andersen, Torben
8
Baltagi, Badi H.
8
Cai, Zongwu
8
Francq, Christian
8
Koop, Gary
8
Shang, Han Lin
8
Swanson, Norman R.
8
Demetrescu, Matei
7
Kim, Donggyu
7
Lahiri, Kajal
7
Li, Yingying
7
Mykland, Per A.
7
Taylor, James W.
7
Taylor, Robert
7
Fan, Jianqing
6
Gallant, A. Ronald
6
Gao, Jiti
6
Hafner, Christian M.
6
Han, Xiaoyi
6
Kapetanios, George
6
Lesage, James P.
6
Linton, Oliver
6
Phillips, Peter C. B.
6
Tsay, Ruey S.
6
Ullah, Aman
6
Wang, Shouyang
6
Wang, Yazhen
6
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Journal of econometrics
9
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
5
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
Econometric reviews
1
Econometric theory
1
Finance and stochastics
1
International journal of forecasting
1
Journal of financial econometrics
1
Journal of marketing research : JMR
1
Journal of the American Statistical Association : JASA
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
27
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
A probit model with structured covariance for similarity effects and source of volume calculations
Dotson, Jeffrey P.
;
Howell, John R.
;
Brazell, Jeff D.
; …
- In:
Journal of marketing research : JMR
55
(
2018
)
1
,
pp. 35-47
Persistent link: https://www.econbiz.de/10011819640
Saved in:
9
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
10
Benefit-based conjoint analysis
Kim, Dong Soo
;
Bailey, Roger A.
;
Hardt, Nino
;
Allenby, …
- In:
Marketing science : the marketing journal of the …
36
(
2017
)
1
,
pp. 54-69
Persistent link: https://www.econbiz.de/10011645754
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