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subject:"Volatility"
type_genre:"Article in journal"
~person:"Ardia, David"
~person:"Koopman, Siem Jan"
~person:"Zhang, Xinyu"
~subject:"Bayesian inference"
~subject:"Maximum-Likelihood-Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Maximum-Likelihood-Schätzung
Estimation theory
47
Schätztheorie
47
Modellierung
17
Scientific modelling
17
Bayes-Statistik
15
Time series analysis
14
Zeitreihenanalyse
14
Forecasting model
12
Prognoseverfahren
12
Model averaging
11
Asymptotic optimality
10
ARCH model
7
ARCH-Modell
7
Volatilität
7
Consistency
6
Estimation
6
Monte Carlo simulation
6
Monte-Carlo-Simulation
6
Schätzung
6
Regression analysis
5
Regressionsanalyse
5
Maximum likelihood estimation
4
Risikomaß
4
Risk measure
4
Sampling
4
Stichprobenerhebung
4
Asymptotic normality
3
Autocorrelation
3
Autokorrelation
3
Correlation
3
Kalman filter
3
Kleinste-Quadrate-Methode
3
Korrelation
3
Least squares method
3
State space model
3
Statistical distribution
3
Statistische Verteilung
3
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Article
22
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Article in journal
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22
Aufsatz in Zeitschrift
22
Graue Literatur
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Non-commercial literature
22
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22
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22
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Ardia, David
Koopman, Siem Jan
Zhang, Xinyu
Lee, Lung-fei
21
Tsionas, Efthymios G.
20
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Francq, Christian
11
Li, Jia
11
Tauchen, George Eugene
11
Zakoïan, Jean-Michel
9
Zhang, Xibin
9
Jin, Fei
8
Teräsvirta, Timo
8
Andersen, Torben
7
Fan, Jianqing
7
Kim, Donggyu
7
Koop, Gary
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Allenby, Greg M.
6
Gallant, A. Ronald
6
Han, Xiaoyi
6
Jing, Bingyi
6
Lucas, André
6
Tran, Kien C.
6
Wang, Yazhen
6
Yu, Jihai
6
Aït-Sahalia, Yacine
5
Bauwens, Luc
5
Bollerslev, Tim
5
Cavaliere, Giuseppe
5
Elliott, Robert J.
5
Gao, Jiti
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hurn, Stan
5
Li, Dong
5
Li, Kunpeng
5
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Journal of econometrics
10
Economics letters
4
Finance research letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
International journal of forecasting
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
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ECONIS (ZBW)
22
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22
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1
Prediction using many samples with models possibly containing partially shared parameters
Zhang, Xinyu
;
Liu, Huihang
;
Wei, Yizheng
;
Ma, Yanyuan
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 187-196
Persistent link: https://www.econbiz.de/10014449883
Saved in:
2
Penalized time-varying model averaging
Sun, Yuying
;
Hong, Yongmiao
;
Wang, Shouyang
;
Zhang, Xinyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1355-1377
Persistent link: https://www.econbiz.de/10014471396
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
Model averaging prediction for time series models with a diverging number of parameters
Liao, Jun
;
Zou, Guohua
;
Gao, Yan
;
Zhang, Xinyu
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 190-221
Persistent link: https://www.econbiz.de/10012619966
Saved in:
6
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:
7
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
8
Model averaging based on leave-subject-out cross-validation for vector autoregressions
Liao, Jun
;
Zong, Xianpeng
;
Zhang, Xinyu
;
Zou, Guohua
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 35-60
Persistent link: https://www.econbiz.de/10012302513
Saved in:
9
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Ardia, David
;
Kolly, Jeremy
;
Trottier, Denis‐Alexandre
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 808-823
Persistent link: https://www.econbiz.de/10011860735
Saved in:
10
Model averaging with averaging covariance matrix
Zhao, Shangwei
;
Zhang, Xinyu
;
Gao, Yichen
- In:
Economics letters
145
(
2016
),
pp. 214-217
Persistent link: https://www.econbiz.de/10011618420
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