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~isPartOf:"Econometric reviews"
~source:"econis"
~subject:"Estimation"
~subject:"Multivariate analysis"
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Search: subject:"Volatility"
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Estimation
Multivariate analysis
Volatility
89
Volatilität
89
Theorie
53
Theory
53
Stochastic process
44
Stochastischer Prozess
44
Time series analysis
33
Zeitreihenanalyse
33
Schätzung
28
Estimation theory
25
Schätztheorie
25
ARCH model
22
ARCH-Modell
22
Capital income
19
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19
Multivariate Analyse
18
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17
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17
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15
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15
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15
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15
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12
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12
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12
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12
Nichtparametrisches Verfahren
11
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11
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9
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9
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9
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9
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8
Scientific modelling
8
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8
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7
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40
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41
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1
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English
41
Author
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McAleer, Michael
7
Asai, Manabu
4
Maasoumi, Esfandiar
3
Chan, Joshua
2
Jawadi, Fredj
2
Meyer, Renate
2
Teräsvirta, Timo
2
Yu, Jun
2
Alghalith, Moawia
1
Amado, Cristina
1
Anatolyev, Stanislav
1
Andreou, Panayiotis C.
1
Anyfantaki, Sofia
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Brechmann, E. C.
1
Brownlees, Christian
1
Bu, Ruijun
1
Cai, Yuzhi
1
Caporin, Massimiliano
1
Chan, David
1
Chan, Felix
1
Dimitrakopoulos, Stefanos
1
Eisenstat, Eric
1
Ftiti, Zied
1
Glickman, Mark E.
1
Gospodinov, Nikolaj
1
Gouriéroux, Christian
1
Heiden, M.
1
Herwartz, Helmut
1
Hoshikawa, Toshiya
1
Hoti, Suhejla
1
Jungbacker, Borus
1
Kanatani, Taro
1
Kirby, Chris
1
Kohn, Robert
1
Kolossiatis, Michalis
1
Koopman, Siem Jan
1
Kwan, W.
1
Li, Wai Keung
1
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Econometric reviews
Discussion paper series / IZA
170
Energy economics
149
Applied economics
140
Economic modelling
122
Finance research letters
119
Journal of econometrics
117
International review of economics & finance : IREF
115
International review of financial analysis
103
Working paper / National Bureau of Economic Research, Inc.
100
The North American journal of economics and finance : a journal of financial economics studies
98
NBER working paper series
94
Journal of banking & finance
91
NBER Working Paper
89
Journal of empirical finance
85
Working paper
85
Applied economics letters
82
Discussion paper / Centre for Economic Policy Research
78
Applied financial economics
77
CESifo working papers
76
Research in international business and finance
71
Discussion paper / Tinbergen Institute
70
Journal of international money and finance
69
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
Journal of international financial markets, institutions & money
68
Economics letters
64
The journal of futures markets
61
Journal of risk and financial management : JRFM
55
International journal of forecasting
52
The European journal of finance
48
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
47
IZA Discussion Paper
46
International journal of finance & economics : IJFE
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
41
International Journal of Energy Economics and Policy : IJEEP
39
Journal of financial economics
38
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Journal of economic dynamics & control
35
Discussion paper
34
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ECONIS (ZBW)
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1
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
2
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
3
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
4
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
5
On the estimation of integrated
volatility
in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
6
Bayesian analysis of moving average stochastic
volatility
models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
7
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
8
Forecasting energy futures
volatility
with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
9
Data cloning estimation for asymmetric stochastic
volatility
models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
10
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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