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type:"article"
type_genre:"Article in journal"
~isPartOf:"Central European journal of economic modelling and econometrics"
~isPartOf:"Journal of mathematical finance"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
40
Schätztheorie
40
Time series analysis
14
Zeitreihenanalyse
14
Estimation
12
Schätzung
12
ARCH-Modell
10
Volatility
10
Volatilität
10
Statistical distribution
8
Statistische Verteilung
8
Stochastic process
7
Stochastischer Prozess
7
Bayes-Statistik
6
Bayesian inference
6
Börsenkurs
6
Share price
6
Capital income
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Forecasting model
5
GARCH
5
Kapitaleinkommen
5
Prognoseverfahren
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Cointegration
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Correlation
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Kointegration
4
Korrelation
4
Risikomaß
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Risk measure
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VAR model
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VAR-Modell
4
Markov chain
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Markov-Kette
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Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Yield curve
3
Zinsstruktur
3
Autocorrelation Function
2
Bayesian analysis
2
Change-Point
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10
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Huptas, Roman
2
Irungu, Irene W.
2
Mwita, Peter N.
2
Waititu, Antony G.
2
Adewuyi, Adejumo Wahab
1
Badaoui, Mohammed
1
Cheng, Hao
1
Epaphra, Manamba
1
Fatmi, Nadia Idrissi
1
Gumbo, Victor
1
Lim, Kian-Guan
1
Mundia, Simon
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Settar, Abdeljalil
1
Siziba, Simiso
1
Yap, Nelson K. L.
1
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Central European journal of economic modelling and econometrics
Journal of mathematical finance
Journal of econometrics
50
Econometric theory
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
14
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
Finance research letters
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
Econometrics : open access journal
7
Computational economics
6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The journal of risk model validation
5
CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
4
The European journal of finance
4
Theoretical economics letters
4
Financial innovation : FIN
3
Insurance / Mathematics & economics
3
International journal of financial research
3
International journal of monetary economics and finance
3
International review of economics & finance : IREF
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ECONIS (ZBW)
10
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1
New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Settar, Abdeljalil
;
Fatmi, Nadia Idrissi
;
Badaoui, Mohammed
- In:
Central European journal of economic modelling and …
13
(
2021
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10012439109
Saved in:
2
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
3
Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
Saved in:
4
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
5
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
6
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
7
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
8
The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach
Huptas, Roman
- In:
Central European journal of economic modelling and …
8
(
2016
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011634876
Saved in:
9
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
10
Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Huptas, Roman
- In:
Central European journal of economic modelling and …
6
(
2014
)
4
,
pp. 237-273
Persistent link: https://www.econbiz.de/10010503009
Saved in:
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