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accessRights:"restricted"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics"
~subject:"Prognoseverfahren"
~subject:"Stochastischer Prozess"
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Volatilität
Prognoseverfahren
Stochastischer Prozess
Estimation
46
Schätzung
46
Volatility
29
Capital income
22
Kapitaleinkommen
22
Time series analysis
22
Zeitreihenanalyse
22
Theorie
17
Theory
17
Börsenkurs
15
Estimation theory
15
Schätztheorie
15
Share price
15
ARCH model
14
ARCH-Modell
14
Forecasting model
11
Risikomaß
8
Risk measure
8
Stochastic process
8
Correlation
7
Korrelation
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Portfolio selection
6
Portfolio-Management
6
Risikoprämie
6
Risk premium
6
Analysis of variance
5
CAPM
5
Varianzanalyse
5
realized volatility
5
Aktienmarkt
4
Factor analysis
4
Faktorenanalyse
4
Stock market
4
high-frequency data
4
value-at-risk
4
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3
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English
32
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Hansen, Peter Reinhard
2
Alitab, Dario
1
Andreou, Elena
1
Barigozzi, Matteo
1
Barunik, Jozef
1
Baur, Dirk G.
1
Bee, Marco
1
Bekierman, Jeremias
1
Berardi, Andrea
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Bu, Ruijun
1
Buccheri, Giuseppe
1
Calzolari, Giorgio
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Chorro, Christophe
1
Corsi, Fulvio
1
Dimpfl, Thomas
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Francq, Christian
1
Gagliardini, Patrick
1
Gerlach, Richard
1
Ghysels, Eric
1
Gong, Yuting
1
Gorgi, P.
1
Grassi, Stefano
1
Gribisch, Bastian
1
Grønneberg, Steffen
1
Halbleib, Roxana
1
Hallin, Marc
1
Hansen, Anne Lundgaard
1
Hassler, Uwe
1
Hong, Seok Young
1
Huang, Zhuo
1
Hung, Mao-Wei
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Janus, Paweł
1
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Journal of financial econometrics
Finance research letters
175
Energy economics
151
Applied economics
122
Economic modelling
115
International review of economics & finance : IREF
110
International review of financial analysis
106
International journal of forecasting
105
Journal of econometrics
105
The North American journal of economics and finance : a journal of financial economics studies
102
Discussion paper / Centre for Economic Policy Research
88
Journal of banking & finance
83
Journal of empirical finance
78
Research in international business and finance
72
Economics letters
69
Journal of international financial markets, institutions & money
63
Applied economics letters
57
Journal of international money and finance
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Journal of financial economics
54
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
53
Pacific-Basin finance journal
47
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
46
Working paper / National Bureau of Economic Research, Inc.
44
Discussion papers / CEPR
42
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
42
Journal of forecasting
41
Quantitative finance
41
The European journal of finance
38
Management science : journal of the Institute for Operations Research and the Management Sciences
37
Journal of economic dynamics & control
35
Journal of financial markets
34
International journal of finance & economics : IJFE
32
Emerging markets, finance and trade : EMFT
30
Review of quantitative finance and accounting
27
Econometric reviews
26
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
Journal of applied econometrics
25
Journal of macroeconomics
25
International journal of economics and finance
21
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ECONIS (ZBW)
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1
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
5
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
6
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
7
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
8
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
9
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
10
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
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