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subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Economic modelling"
~subject:"Monte-Carlo-Simulation"
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Search: subject_exact:"Estimation theory"
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Volatility
Monte-Carlo-Simulation
Estimation theory
276
Schätztheorie
276
Time series analysis
93
Zeitreihenanalyse
93
Estimation
74
Schätzung
73
Nichtparametrisches Verfahren
33
Nonparametric statistics
33
Theorie
33
Theory
33
Volatilität
32
Regression analysis
31
Regressionsanalyse
31
Cointegration
29
Kointegration
29
Stochastic process
28
Stochastischer Prozess
28
Statistical test
26
Statistischer Test
26
ARCH model
21
ARCH-Modell
21
Bootstrap approach
18
Bootstrap-Verfahren
18
Forecasting model
17
Panel
17
Panel study
17
Prognoseverfahren
17
VAR model
17
VAR-Modell
17
Maximum likelihood estimation
16
Maximum-Likelihood-Schätzung
16
Bayes-Statistik
15
Bayesian inference
15
Börsenkurs
14
Share price
14
Monte Carlo simulation
13
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12
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12
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English
44
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Kumar, Dilip
4
Teräsvirta, Timo
4
Maheswaran, S.
3
Silvennoinen, Annastiina
3
Floor Brix, Anne
2
Kristensen, Dennis
2
Kruse, Robinson
2
Li, Yong
2
Lunde, Asger
2
Sriananthakumar, Sivagowry
2
Xu, Weijun
2
Amado, Cristina
1
Andersen, Torben
1
Barndorff-Nielsen, Ole E.
1
Boughrara, Adel
1
Casas, Isabel
1
Castillo B., Paul
1
Cavaliere, Giuseppe
1
Creel, Michael D.
1
Demetrescum, Matei
1
Dridi, Ichrak
1
Ergemen, Yunus Emre
1
Feng, Yuanhua
1
Gijbels, Irène
1
Hall, Anthony D.
1
Han, Jeong sug
1
Hanck, Christoph
1
Hatemi-J, Abdulnasser
1
Haugom, Erik
1
Hounyo, Ulrich
1
Hu, Shuowen
1
Hur, Joonyoung
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kato, Takafumi
1
Kim, Jae H.
1
Li, Chang-shuai
1
Li, Hongyi
1
Liang, Huajie
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CREATES research paper
Economic modelling
Journal of econometrics
149
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
Economics letters
45
Discussion paper / Tinbergen Institute
41
Econometric reviews
39
Computational economics
24
Econometric theory
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
The econometrics journal
21
Journal of empirical finance
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Working paper / National Bureau of Economic Research, Inc.
19
Applied economics
18
International journal of forecasting
18
NBER Working Paper
18
Quantitative finance
18
Econometrics : open access journal
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Finance research letters
16
International journal of theoretical and applied finance
16
Applied economics letters
15
European journal of operational research : EJOR
15
Journal of financial econometrics
15
Journal of forecasting
14
NBER working paper series
14
Journal of banking & finance
13
Journal of risk and financial management : JRFM
13
CEMMAP working papers / Centre for Microdata Methods and Practice
12
The North American journal of economics and finance : a journal of financial economics studies
12
Working paper / Department of Econometrics and Business Statistics, Monash University
12
Working paper
11
Finance and stochastics
10
Journal of economic dynamics & control
10
Journal of the American Statistical Association : JASA
10
Risks : open access journal
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
SFB 649 discussion paper
9
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ECONIS (ZBW)
44
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
4
Flexible inflation targeting and stock market volatility : evidence from emerging market economies
Dridi, Ichrak
;
Boughrara, Adel
- In:
Economic modelling
126
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462464
Saved in:
5
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
Saved in:
6
Sequential Bayesian inference for agent-based models with application to the Chinese business cycle
Zhang, Jinyu
;
Zhang, Qiaosen
;
Li, Yong
;
Wang, Qianchao
- In:
Economic modelling
126
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014463503
Saved in:
7
Sequential Bayesian bandwidth selection for multivariate kernel regression with applications
Li, Yong
;
Zhang, Mingzhi
;
Zhang, Yonghui
- In:
Economic modelling
112
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013349100
Saved in:
8
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
9
Macroeconomic effects of monetary policy in Korea : a time-varying coefficient VAR approach
Han, Jeong sug
;
Hur, Joonyoung
- In:
Economic modelling
89
(
2020
),
pp. 142-152
Persistent link: https://www.econbiz.de/10012425933
Saved in:
10
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
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