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subject:"Volatility"
~isPartOf:"Journal of banking & finance"
~subject:"VAR-Modell"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
VAR-Modell
Zeitreihenanalyse
Estimation theory
75
Schätztheorie
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Estimation
28
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27
Portfolio selection
18
Portfolio-Management
18
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14
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Taylor, Stephen
2
Ahking, Francis W.
1
Alexander, Carol
1
Baik, Hyeoncheol
1
Bekiros, Stelios D.
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Cenedese, Gino
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1
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1
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1
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1
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1
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Journal of banking & finance
Journal of econometrics
388
Econometric theory
174
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
172
Economics letters
161
Discussion paper / Tinbergen Institute
110
Econometric reviews
102
International journal of forecasting
72
CREATES research paper
70
Working paper / Department of Econometrics and Business Statistics, Monash University
69
Journal of forecasting
61
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
61
Applied economics letters
56
Econometrics : open access journal
55
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
48
The econometrics journal
48
Economic modelling
46
NBER Working Paper
46
Cowles Foundation discussion paper
45
Journal of time series econometrics
41
Applied economics
40
Journal of empirical finance
40
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
38
Journal of the American Statistical Association : JASA
38
Computational economics
36
Journal of applied econometrics
35
SFB 649 discussion paper
33
Série des documents de travail / Centre de Recherche en Économie et Statistique
33
Working paper
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NBER working paper series
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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EUI working paper / ECO
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Oxford bulletin of economics and statistics
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Technical working paper / National Bureau of Economic Research
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Working paper / National Bureau of Economic Research, Inc.
25
CESifo working papers
24
NBER technical working paper series
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Discussion paper / Center for Economic Research, Tilburg University
23
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1
A bank's optimal capital ratio : a time-varying parameter model to the partial adjustment framework
Baik, Hyeoncheol
;
Han, Sumin
;
Joo, Sunghoon
;
Lee, Kangbok
- In:
Journal of banking & finance
142
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013473072
Saved in:
2
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
3
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
4
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
5
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
6
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
7
Least impulse response estimator for stress test exercises
Gouriéroux, Christian
;
Lu, Yang
- In:
Journal of banking & finance
103
(
2019
),
pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
Saved in:
8
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
9
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
10
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Saved in:
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