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~isPartOf:"CREATES research paper"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Estimation theory"
~subject:"Volatilität"
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Estimation theory
Volatilität
Stochastic process
101
Stochastischer Prozess
101
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58
Theory
58
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45
Time series analysis
28
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CREATES research paper
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
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52
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
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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
Economic modelling
30
Research paper series / Swiss Finance Institute
29
Journal of risk and financial management : JRFM
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
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NBER working paper series
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ECONIS (ZBW)
60
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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 Monte Carlo with model tempering
Mlikota, Marko
;
Schorfheide, Frank
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 249-269
Persistent link: https://www.econbiz.de/10014631921
Saved in:
4
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
5
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
6
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:
7
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
8
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
9
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
10
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
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