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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Analysis of variance"
~subject:"Börsenkurs"
~subject:"Noise Trading"
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Volatility
Analysis of variance
Börsenkurs
Noise Trading
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
ARCH-Modell
11
Market microstructure
10
Marktmikrostruktur
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Capital income
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Risikomaß
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Risk measure
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Theorie
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Theory
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Correlation
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Forecasting model
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Korrelation
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Prognoseverfahren
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Regression analysis
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Regressionsanalyse
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Stochastic process
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Share price
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Noise trading
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Statistical test
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Statistischer Test
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Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bos, Charles S.
1
Boudt, Kris
1
Caldeira, João F.
1
Carrasco, Marine
1
Corsi, Fulvio
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Croux, Christophe
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Engle, Robert F.
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Fan, Jianqing
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Fan, Yingying
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Francq, Christian
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Frederiksen, Per
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Ghysels, Eric
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Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Laurent, Sébastien
1
Li, Yingying
1
Lv, Jinchi
1
Mancino, Maria Elvira
1
Mira, Antonietta
1
Moon, Seongman
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Moura, Guilherme Valle
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Mykland, Per A.
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Nagakura, Daisuke
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Nielsen, Morten Ørregaard
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Nogales, Francisco J.
1
Peluso, Stefano
1
Rodrigues, Paulo M. M.
1
Rubia, Antonio
1
Rydberg, Tina Hvild
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Sanfelici, Simona
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
53
Economics letters
30
Journal of empirical finance
30
Discussion paper / Tinbergen Institute
29
Econometric reviews
22
Economic modelling
22
Journal of banking & finance
21
Quantitative finance
21
CREATES research paper
20
Finance research letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of financial econometrics
18
Econometric theory
17
International journal of theoretical and applied finance
15
International journal of forecasting
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
The North American journal of economics and finance : a journal of financial economics studies
14
Working paper
14
International journal of economics and financial issues : IJEFI
13
The econometrics journal
13
Cambridge working papers in economics
12
NBER Working Paper
12
SFB 649 discussion paper
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
11
European journal of operational research : EJOR
10
Journal of mathematical finance
10
Journal of the American Statistical Association : JASA
10
NBER working paper series
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Working paper / National Bureau of Economic Research, Inc.
10
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
9
Econometrics : open access journal
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International review of financial analysis
9
Journal of financial economics
9
The European journal of finance
9
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ECONIS (ZBW)
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
4
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
5
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
6
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
7
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
8
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
9
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
10
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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