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~isPartOf:"CREATES research paper"
~source:"econis"
~subject:"Theorie"
~subject:"Volatility"
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Theorie
Volatility
Modellierung
32
Scientific modelling
32
Time series analysis
12
Zeitreihenanalyse
12
Volatilität
9
Stochastic process
7
Stochastischer Prozess
7
ARCH model
6
ARCH-Modell
6
Estimation theory
6
Schätztheorie
6
Theory
6
Forecasting model
5
Prognoseverfahren
5
Statistical test
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Statistischer Test
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Cointegration
4
Kointegration
4
Capital income
3
Kapitaleinkommen
3
VAR model
3
VAR-Modell
3
Bayes-Statistik
2
Bayesian inference
2
Börsenkurs
2
Economic forecast
2
Induktive Statistik
2
Martingal
2
Martingale
2
Nichtlineare Regression
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Nichtparametrisches Verfahren
2
Nonlinear regression
2
Nonparametric statistics
2
Portfolio selection
2
Portfolio-Management
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Risikoprämie
2
Risk premium
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14
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Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Benth, Fred Espen
2
Grassi, Stefano
2
Hansen, Peter Reinhard
2
Proietti, Tommaso
2
Teräsvirta, Timo
2
Todorov, Viktor
2
Veraart, Almut E. D.
2
Bach, Christian
1
Bollerslev, Tim
1
Bredahl Kock, Anders
1
Christensen, Bent Jesper
1
Dziubinski, Matt
1
Fusari, Nicola
1
Huang, Zhuowei
1
Lunde, Asger
1
Nason, James Michael
1
Podolskij, Mark
1
Rosenbaum, Mathieu
1
Shek, Howard Howan
1
Silvennoinen, Annastiina
1
Sizova, Natalia
1
Tauchen, George Eugene
1
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CREATES research paper
Journal of econometrics
45
Econometric reviews
37
NBER working paper series
26
Working paper
26
Econometric Institute research papers
25
Working paper / National Bureau of Economic Research, Inc.
25
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
24
NBER Working Paper
21
Handbooks in economics
20
International journal of forecasting
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Cowles Foundation discussion paper
18
Discussion paper / Centre for Economic Policy Research
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Discussion paper / Tinbergen Institute
17
Insurance / Mathematics & economics
17
International journal of production research
17
Economics letters
15
Econometrics : open access journal
14
European journal of operational research : EJOR
14
Journal of forecasting
14
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Economic modelling
13
Journal of economic dynamics & control
13
Journal of economic theory
13
SpringerLink / Bücher
13
Tinbergen Institute research series
13
Applied economics
12
Discussion paper / Center for Economic Research, Tilburg University
12
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
12
Cowles Foundation Discussion Paper
11
Journal of the American Statistical Association : JASA
11
Working papers / Penn Institute for Economic Research
11
CESifo working papers
10
Oxford bulletin of economics and statistics
10
The journal of risk model validation
10
Working papers / Rutgers University, Department of Economics
10
CAMA working paper series
9
Discussion papers / CEPR
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
2
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
3
Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso
;
Grassi, Stefano
-
2011
Persistent link: https://www.econbiz.de/10008841795
Saved in:
4
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
Saved in:
5
Characterizing economic trends by Bayesian stochastic model specification search
Grassi, Stefano
;
Proietti, Tommaso
-
2011
Persistent link: https://www.econbiz.de/10009006817
Saved in:
6
Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Bredahl Kock, Anders
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009267762
Saved in:
7
Testing the local volatility assumption : a statistical approach
Podolskij, Mark
;
Rosenbaum, Mathieu
-
2011
Persistent link: https://www.econbiz.de/10008807427
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8
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
9
Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.
;
Benth, Fred Espen
;
Veraart, …
-
2010
Persistent link: https://www.econbiz.de/10003959801
Saved in:
10
Modelling energy spot prices by Lévy semistationary processes
Barndorff-Nielsen, Ole E.
;
Benth, Fred Espen
;
Veraart, …
-
2010
Persistent link: https://www.econbiz.de/10003959807
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