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type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~isPartOf:"The econometrics journal"
~subject:"Autokorrelation"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
306
Schätztheorie
306
Nichtparametrisches Verfahren
62
Nonparametric statistics
62
Regression analysis
56
Regressionsanalyse
56
Time series analysis
47
Zeitreihenanalyse
47
Estimation
41
Schätzung
41
Panel
39
Panel study
39
Statistical test
38
Statistischer Test
38
Theorie
31
Theory
31
Volatility
27
Volatilität
27
Forecasting model
21
Prognoseverfahren
21
Modellierung
20
Scientific modelling
20
Statistical distribution
20
Statistische Verteilung
20
Induktive Statistik
19
Statistical inference
19
Autocorrelation
17
ARCH model
16
ARCH-Modell
16
Monte Carlo simulation
16
Monte-Carlo-Simulation
16
Bootstrap approach
15
Bootstrap-Verfahren
15
Instrumental variables
15
Heteroscedasticity
14
Heteroskedastizität
14
Method of moments
14
Momentenmethode
14
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14
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Article
32
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Article in journal
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32
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English
32
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Lee, Lung-fei
2
Sun, Yixiao
2
Abadir, Karim Maher
1
Achab, Massil
1
Bacry, E.
1
Baillie, Richard
1
Baltagi, Badi H.
1
Bayer, Christian
1
Breneis, Simon
1
Cang, Yuquan
1
Capriotti, Luca
1
Chang, Pao-li
1
Chen, Jia
1
Chen, May-Ru
1
Chen, Yu
1
Cheng, Tsung-Chi
1
Chong, Terence Tai-Leung
1
Chronopoulou, Alexandra
1
Gao, Jiti
1
Ginker, Tim
1
Guo, Gangzheng
1
Guo, Meihui
1
Götz, Thomas B.
1
Hauzenberger, Klemens
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Kalliovirta, Leena
1
Kao, Chihwa
1
Kapetanios, George
1
Kejriwal, Mohitosh
1
Kinnear, Ryan J.
1
Knight, John L.
1
Lai, Hung-neng
1
Lam, Henry
1
Lewis, Alan L.
1
Li, Degui
1
Li, Fengpei
1
Lieberman, Offer
1
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Quantitative finance
The econometrics journal
Journal of econometrics
163
Economics letters
53
Econometric reviews
49
Econometric theory
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Journal of empirical finance
17
Econometrics : open access journal
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
European journal of operational research : EJOR
14
Applied economics letters
13
Regional science & urban economics
13
Computational economics
12
Mathematics of operations research
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of banking & finance
9
Journal of financial econometrics
9
Operations research
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Insurance / Mathematics & economics
8
International journal of forecasting
8
International journal of production research
8
International journal of theoretical and applied finance
8
Journal of forecasting
8
Journal of risk and financial management : JRFM
8
Journal of the American Statistical Association : JASA
8
Quantitative economics : QE ; journal of the Econometric Society
8
Finance and stochastics
7
Finance research letters
7
Journal of productivity analysis
7
Spatial economic analysis : the journal of the Regional Studies Association
7
Journal of mathematical finance
6
Journal of time series econometrics
6
Operations research letters
6
Oxford bulletin of economics and statistics
6
Risks : open access journal
6
Asia-Pacific financial markets
5
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ECONIS (ZBW)
32
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1
Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
Saved in:
2
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
3
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
4
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
5
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
6
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
7
LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Ginker, Tim
;
Lieberman, Offer
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 58-82
Persistent link: https://www.econbiz.de/10012504449
Saved in:
8
Generalized forecast averaging in autoregressions with a near unit root
Kejriwal, Mohitosh
;
Yu, Xuewen
- In:
The econometrics journal
24
(
2021
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10012504451
Saved in:
9
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
10
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
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