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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Journal of econometrics"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Prognoseverfahren"
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Prognoseverfahren
Analysis of variance
46
Varianzanalyse
46
Estimation theory
19
Schätztheorie
19
Volatility
19
Volatilität
19
Correlation
16
Korrelation
16
Time series analysis
15
Zeitreihenanalyse
15
Forecasting model
13
Theorie
13
Theory
13
Capital income
11
Kapitaleinkommen
11
Estimation
10
Schätzung
10
Portfolio selection
9
Portfolio-Management
9
Market microstructure
8
Marktmikrostruktur
8
Börsenkurs
7
Share price
7
Statistical test
7
Statistischer Test
7
Noise Trading
6
Noise trading
6
ARCH model
5
ARCH-Modell
5
High frequency data
5
Minimum variance portfolio
5
Statistical distribution
5
Statistische Verteilung
5
USA
5
United States
5
Factor analysis
4
Faktorenanalyse
4
High-frequency data
4
Induktive Statistik
4
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Undetermined
8
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2
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Article
11
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2
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Article in journal
11
Aufsatz in Zeitschrift
11
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Working Paper
2
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English
13
Author
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Patton, Andrew J.
4
Bollerslev, Tim
2
Caporin, Massimiliano
2
McAleer, Michael
2
Quaedvlieg, Rogier
2
Dai, Chaoxing
1
Francq, Christian
1
Goyal, Amit
1
Hollstein, Fabian
1
Krampe, Jonas
1
Li, Jia
1
Liu, Lily Y.
1
Lu, Kun
1
Maheu, John M.
1
McCurdy, Thomas H.
1
Medeiros, Marcelo C.
1
Paparoditis, Efstathios
1
Santa-Clara, Pedro
1
Sheppard, Kevin
1
Sizova, Natalia
1
Trenkler, Carsten
1
Wese Simen, Chardin
1
Xiu, Dacheng
1
Zakoïan, Jean-Michel
1
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Econometric Institute research papers
Journal of econometrics
The journal of finance : the journal of the American Finance Association
International journal of forecasting
8
Finance research letters
5
Journal of empirical finance
4
Working paper
4
Discussion paper / Tinbergen Institute
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of financial econometrics
3
Journal of forecasting
3
Working papers on finance
3
Annals of economics and statistics
2
Applied economics
2
CORE discussion papers : DP
2
CREATES research paper
2
Econometric reviews
2
Econometrics : open access journal
2
Energy economics
2
Journal of applied econometrics
2
Journal of banking & finance
2
SFB 649 discussion paper
2
SNB working papers
2
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
2
The journal of futures markets
2
Advances in business and management forecasting
1
Annals of finance
1
Applied financial economics
1
Australian journal of management
1
Barcelona GSE working paper series : working paper
1
Cardiff economics working papers
1
CoFE discussion papers
1
Department of Economics discussion paper series / University of Oxford
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Discussion papers of interdisciplinary research project 373
1
ECARES working paper
1
ERID working paper
1
ERIM Ph. D. series research in management / Erasmus Institute of Management
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
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ECONIS (ZBW)
13
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13
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date (oldest first)
1
Structural inference in sparse high-dimensional vector autoregressions
Krampe, Jonas
;
Paparoditis, Efstathios
;
Trenkler, Carsten
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 276-300
Persistent link: https://www.econbiz.de/10014364826
Saved in:
2
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
3
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
4
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
5
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
6
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 71-91
Persistent link: https://www.econbiz.de/10012116125
Saved in:
7
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
8
Ranking multivariate GARCH models by problem dimension: an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009619365
Saved in:
9
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987665
Saved in:
10
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
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