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~isPartOf:"Journal of econometrics"
~person:"Francq, Christian"
~person:"Herwartz, Helmut"
~subject:"Börsenkurs"
~subject:"Geldpolitik"
~subject:"Multivariate Analyse"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Börsenkurs
Geldpolitik
Multivariate Analyse
Option pricing theory
Schätzung
ARCH model
5
ARCH-Modell
5
Volatility
5
Volatilität
5
Estimation theory
4
Schätztheorie
4
Estimation
3
Multivariate analysis
2
Portfolio selection
2
Portfolio-Management
2
Quasi-maximum likelihood
2
Risikomaß
2
Risk measure
2
Share price
2
Stochastic process
2
Stochastischer Prozess
2
Time series analysis
2
Zeitreihenanalyse
2
Aktienindex
1
Analysis of variance
1
Confidence intervals for VaR
1
Dynamic portfolio
1
EGARCH
1
Elliptical distribution
1
Filtered historical simulation
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Forecasting model
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Functional QMLE
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Functional time series
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GARCH
1
High-frequency volatility models
1
Identifying assumptions
1
Innovation
1
Intraday returns
1
Log-GARCH
1
MGARCH
1
Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Francq, Christian
Herwartz, Helmut
Todorov, Viktor
15
Bollerslev, Tim
10
Tauchen, George Eugene
10
Aït-Sahalia, Yacine
7
Xiu, Dacheng
7
McAleer, Michael
6
Kim, Donggyu
5
Li, Jia
5
Andersen, Torben
4
Patton, Andrew J.
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
Christensen, Kim
3
Gallant, A. Ronald
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Li, Yingying
3
Wang, Yazhen
3
Amengual, Dante
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Clinet, Simon
2
Creal, Drew
2
Engle, Robert F.
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Hallin, Marc
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Liesenfeld, Roman
2
Meddahi, Nour
2
Medeiros, Marcelo C.
2
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
5
Applied quantitative finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
1
Applied quantitative finance : theory and computational tools
1
CORE discussion papers : DP
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
Econometric Institute research papers
1
Econometric reviews
1
Economics working paper
1
European financial management : the journal of the European Financial Management Association
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of applied economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of international financial markets, institutions & money
1
Macroeconomic dynamics
1
Oxford bulletin of economics and statistics
1
Review of world economics
1
SFB 373 Discussion Paper
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
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ECONIS (ZBW)
5
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1
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
2
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
3
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:
4
Risk-parameter estimation in
volatility
models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
5
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
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