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~isPartOf:"Journal of econometrics"
~person:"Herwartz, Helmut"
~person:"Wang, Yazhen"
~subject:"Geldpolitik"
~subject:"Multivariate Analyse"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Geldpolitik
Multivariate Analyse
Option pricing theory
Schätzung
Volatility
4
Volatilität
4
ARCH model
3
ARCH-Modell
3
Börsenkurs
3
Estimation
3
Estimation theory
3
Schätztheorie
3
Share price
3
Time series analysis
3
Zeitreihenanalyse
3
Analysis
2
Mathematical analysis
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Stochastic differential equation
2
Stochastic process
2
Stochastischer Prozess
2
Adaptive thresholding
1
Diffusion
1
Financial market
1
Finanzmarkt
1
Forecasting model
1
GARCH
1
High-frequency financial data
1
Identifying assumptions
1
Induktive Statistik
1
Innovation
1
Integrated volatility
1
Itô process
1
MGARCH
1
Modellierung
1
Multivariate analysis
1
Option data
1
Portfolio risk
1
Portfolio selection
1
Portfolio-Management
1
Pre-averaging realized volatility
1
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English
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Herwartz, Helmut
Wang, Yazhen
Todorov, Viktor
14
Bollerslev, Tim
9
Tauchen, George Eugene
8
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Kim, Donggyu
5
Li, Jia
5
Andersen, Torben
4
McAleer, Michael
4
Asai, Manabu
3
Francq, Christian
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Patton, Andrew J.
3
Zakoïan, Jean-Michel
3
Amengual, Dante
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Christensen, Kim
2
Creal, Drew
2
Engle, Robert F.
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallant, A. Ronald
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
Li, Yingying
2
Meddahi, Nour
2
Paolella, Marc S.
2
Park, Joon Y.
2
Park, Yang-Ho
2
Petrova, Katerina
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
KAIST College of Business Working Paper Series No
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
Econometric theory
1
Econometrics : open access journal
1
Economics working paper
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 : official journal of the Society for 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
1
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ECONIS (ZBW)
4
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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
Volatility
analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
3
Adaptive thresholding for large
volatility
matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
4
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
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