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~isPartOf:"Journal of econometrics"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Statistik"
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Volatility
Estimation theory
1,601
Schätztheorie
1,601
Theorie
1,588
Theory
1,588
Time series analysis
590
Zeitreihenanalyse
590
Nichtparametrisches Verfahren
477
Nonparametric statistics
477
Estimation
393
Schätzung
388
Regression analysis
380
Regressionsanalyse
380
Statistical test
274
Statistischer Test
274
Volatilität
263
Panel
254
Panel study
254
Forecasting model
209
Prognoseverfahren
209
Stochastic process
184
Stochastischer Prozess
184
Method of moments
177
Momentenmethode
176
Bayes-Statistik
149
Bayesian inference
149
Statistical distribution
147
Statistische Verteilung
147
Bootstrap approach
139
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139
Cointegration
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Kointegration
136
USA
125
United States
125
Induktive Statistik
124
Statistical inference
124
Autocorrelation
117
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117
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111
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262
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1
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Bibliography included
Statistik
Aufsatz in Zeitschrift
263
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1
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English
263
Author
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Todorov, Viktor
16
Tauchen, George Eugene
13
Aït-Sahalia, Yacine
11
Bollerslev, Tim
10
Andersen, Torben
9
Xiu, Dacheng
8
Li, Jia
7
Kim, Donggyu
6
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Meddahi, Nour
5
Mykland, Per A.
5
Barigozzi, Matteo
4
Cavaliere, Giuseppe
4
Francq, Christian
4
Gouriéroux, Christian
4
Linton, Oliver
4
McAleer, Michael
4
Park, Joon Y.
4
Patton, Andrew J.
4
Renault, Eric
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
Boswijk, Herman Peter
3
Fan, Jianqing
3
Ghysels, Eric
3
Gonçalves, Sílvia
3
Jasiak, Joann
3
Kong, Xin-Bing
3
Maheu, John M.
3
Nielsen, Morten Ørregaard
3
Paolella, Marc S.
3
Rahbek, Anders
3
Shephard, Neil G.
3
Swanson, Norman R.
3
Taylor, Robert
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
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Journal of econometrics
Journal of banking & finance
213
International journal of theoretical and applied finance
211
Finance research letters
191
Quantitative finance
165
Journal of empirical finance
137
Economic modelling
130
Economics letters
130
The journal of futures markets
130
Energy economics
120
Journal of economic dynamics & control
119
International review of financial analysis
118
The North American journal of economics and finance : a journal of financial economics studies
117
Journal of financial economics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
International review of economics & finance : IREF
112
Applied economics
111
Applied mathematical finance
107
International journal of forecasting
99
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
Computational economics
94
The European journal of finance
85
Journal of international money and finance
82
Journal of risk and financial management : JRFM
78
Journal of international financial markets, institutions & money
75
Finance and stochastics
74
The review of financial studies
74
The journal of computational finance
73
Econometric reviews
72
Journal of financial econometrics : official journal of the Society for Financial Econometrics
71
Journal of forecasting
71
Applied economics letters
70
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
69
Risks : open access journal
68
European journal of operational research : EJOR
65
Review of derivatives research
63
The journal of finance : the journal of the American Finance Association
60
Applied financial economics
59
Journal of mathematical finance
59
International journal of financial engineering
57
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ECONIS (ZBW)
263
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1
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10
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263
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1
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:
2
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:
3
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
6
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
7
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:
8
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
9
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
10
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
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