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~isPartOf:"CREATES research paper"
~isPartOf:"Economic modelling"
~subject:"Estimation theory"
~subject:"Schätztheorie"
~subject:"Volatilität"
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Search: subject_exact:"Bernoulli process"
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Estimation theory
Schätztheorie
Volatilität
Stochastic process
141
Stochastischer Prozess
141
Theorie
76
Theory
76
Volatility
42
Time series analysis
26
Zeitreihenanalyse
26
Estimation
25
Schätzung
25
Option pricing theory
21
Optionspreistheorie
21
Yield curve
14
Zinsstruktur
14
Markov chain
11
Markov-Kette
11
Stochastic volatility
11
Einheitswurzeltest
10
Maximum likelihood estimation
10
Maximum-Likelihood-Schätzung
10
Unit root test
10
Bayes-Statistik
9
Bayesian inference
9
CAPM
9
ARCH model
8
ARCH-Modell
8
Forecasting model
8
Modellierung
8
Prognoseverfahren
8
Scientific modelling
8
Analysis
7
Dynamic equilibrium
7
Dynamisches Gleichgewicht
7
Mathematical analysis
7
Portfolio selection
7
Portfolio-Management
7
EU countries
6
EU-Staaten
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33
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30
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33
Graue Literatur
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English
63
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Barndorff-Nielsen, Ole E.
4
Pakkanen, Mikko S.
4
Podolskij, Mark
4
Bennedsen, Mikkel
3
Lunde, Asger
3
Veraart, Almut E. D.
3
Andersen, Torben
2
Christensen, Bent Jesper
2
Corcuera, José Manual
2
Grassi, Stefano
2
Kristensen, Dennis
2
Li, Yong
2
Nielsen, Morten Ørregaard
2
Santucci de Magistris, Paolo
2
Acocella, Nicola
1
Agliardi, Rosella
1
Alleva, Giorgio
1
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Balke, Nathan S.
1
Bao Hoang Nguyen
1
Benzoni, Luca
1
Beqiraj, Elton
1
Berument, Hakan
1
Bolko, Anine E.
1
Bu, Ruijun
1
Chen, Junping
1
Cheng, Jie
1
Choi, Sun-Yong
1
Chong, Terence Tai-Leung
1
Christensen, Kim
1
Christoffersen, Peter F.
1
Creel, Michael D.
1
Cross, Jamie
1
Degiannakis, Stavros
1
Desli, Evangelia
1
Di Bartolomeo, Giovanni
1
Di Dio, Fabio
1
Di Pietro, Marco
1
Exterkate, Peter
1
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CREATES research paper
Economic modelling
International journal of theoretical and applied finance
137
Journal of econometrics
127
Quantitative finance
90
Discussion paper / Tinbergen Institute
66
Applied mathematical finance
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Econometric reviews
53
The journal of computational finance
53
Computational economics
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
Finance and stochastics
49
European journal of operational research : EJOR
48
Journal of economic dynamics & control
48
Insurance / Mathematics & economics
43
Journal of mathematical finance
41
Finance research letters
40
Working paper
40
Economics letters
38
Journal of banking & finance
37
International journal of financial engineering
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Risks : open access journal
33
Annals of finance
32
Journal of empirical finance
32
Energy economics
31
The journal of futures markets
31
Research paper series / Swiss Finance Institute
29
Journal of risk and financial management : JRFM
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
The North American journal of economics and finance : a journal of financial economics studies
27
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
CAMA working paper series
24
Review of derivatives research
24
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
22
Econometrics : open access journal
22
Applied economics
21
NBER working paper series
20
Journal of financial economics
19
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ECONIS (ZBW)
63
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1
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
3
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
4
Testing for integration and cointegration when time series are observed with noise
Gianfreda, Angelica
;
Maranzano, Paolo
;
Parisio, Lucia
; …
- In:
Economic modelling
125
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463618
Saved in:
5
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
6
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
7
In no uncertain terms : the effect of uncertainty on credit frictions and monetary policy
Balke, Nathan S.
;
Martínez-García, Enrique
;
Zeng, Zheng
- In:
Economic modelling
100
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012795898
Saved in:
8
Forecasting natural gas prices using highly flexible time-varying parameter models
Gao, Shen
;
Hou, Chenghan
;
Bao Hoang Nguyen
- In:
Economic modelling
105
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013367152
Saved in:
9
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
10
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
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