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~isPartOf:"Journal of econometrics"
~language:"eng"
~language:"mul"
~language:"vie"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
Estimation theory
1,600
Schätztheorie
1,600
Theorie
1,588
Theory
1,588
Time series analysis
665
Zeitreihenanalyse
665
Nichtparametrisches Verfahren
542
Nonparametric statistics
542
Estimation
464
Schätzung
459
Regression analysis
450
Regressionsanalyse
450
Statistical test
321
Statistischer Test
321
Volatilität
320
Panel
305
Panel study
305
Forecasting model
278
Prognoseverfahren
278
USA
218
United States
218
Stochastic process
217
Method of moments
204
Momentenmethode
203
Bootstrap approach
179
Bootstrap-Verfahren
179
Bayes-Statistik
173
Bayesian inference
173
Statistical distribution
165
Statistische Verteilung
165
Cointegration
162
Kointegration
161
ARCH model
146
ARCH-Modell
146
Capital income
137
Kapitaleinkommen
137
Autocorrelation
134
Autokorrelation
134
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All
Undetermined
207
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Article
430
Book / Working Paper
3
Type of publication (narrower categories)
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Article in journal
Aufsatz in Zeitschrift
433
Collection of articles of several authors
3
Sammelwerk
3
Conference proceedings
1
Konferenzschrift
1
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All
English
Multiple languages
Vietnamese
Author
All
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
11
Aït-Sahalia, Yacine
11
McAleer, Michael
11
Phillips, Peter C. B.
10
Meddahi, Nour
8
Taylor, Robert
8
Xiu, Dacheng
8
Ghysels, Eric
7
Li, Jia
7
Mykland, Per A.
7
Park, Joon Y.
7
Patton, Andrew J.
7
Yu, Jun
7
Cavaliere, Giuseppe
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Linton, Oliver
6
Shephard, Neil G.
6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Chang, Chia-Lin
5
Francq, Christian
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Renault, Eric
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Jasiak, Joann
4
Lieberman, Offer
4
Ling, Shiqing
4
Maheu, John M.
4
Paolella, Marc S.
4
Rahbek, Anders
4
Renò, Roberto
4
Varneskov, Rasmus Tangsgaard
4
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Institution
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Conference on Realized Volatility <2006, Montréal>
1
Published in...
All
Journal of econometrics
Energy economics
696
European journal of operational research : EJOR
669
Finance research letters
631
International review of financial analysis
436
International journal of theoretical and applied finance
434
Applied economics
411
Journal of banking & finance
411
Economic modelling
402
The journal of futures markets
384
International review of economics & finance : IREF
383
The North American journal of economics and finance : a journal of financial economics studies
346
Economics letters
314
Insurance / Mathematics & economics
292
Applied economics letters
287
Journal of empirical finance
277
Applied financial economics
272
Research in international business and finance
272
Quantitative finance
271
Journal of economic dynamics & control
245
Journal of international financial markets, institutions & money
243
Journal of international money and finance
236
Journal of risk and financial management : JRFM
226
Finance and stochastics
224
Risks : open access journal
200
Journal of financial economics
197
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
187
The European journal of finance
185
Computers & operations research : and their applications to problems of world concern ; an international journal
182
Computational economics
181
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
180
International Journal of Energy Economics and Policy : IJEEP
179
Applied mathematical finance
176
Operations research
176
Pacific-Basin finance journal
176
International journal of production research
171
Operations research letters
169
Mathematical finance : an international journal of mathematics, statistics and financial theory
165
Mathematics of operations research
161
International journal of forecasting
159
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ECONIS (ZBW)
433
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433
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
4
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
5
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
Saved in:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
8
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
9
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
10
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
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