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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of financial econometrics"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Risikoprämie"
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Search: subject_exact:"Estimation theory"
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Volatilität
Maximum-Likelihood-Schätzung
Risikoprämie
Estimation theory
90
Schätztheorie
90
Estimation
21
Schätzung
21
Time series analysis
19
Volatility
19
Zeitreihenanalyse
19
ARCH model
17
ARCH-Modell
17
Correlation
16
Korrelation
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Nichtparametrisches Verfahren
12
Nonparametric statistics
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Analysis of variance
9
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Statistical distribution
9
Statistical test
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Statistische Verteilung
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Statistischer Test
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9
Capital income
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Forecasting model
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Kapitaleinkommen
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Prognoseverfahren
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Regression analysis
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Regressionsanalyse
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Maximum likelihood estimation
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Risikomaß
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Risk measure
7
Risk premium
7
Stochastic process
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Stochastischer Prozess
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Börsenkurs
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English
31
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Kleibergen, Frank
5
Kong, Lingwei
5
Zhan, Zhaoguo
5
Hafner, Christian M.
4
Bauwens, Luc
3
Preminger, Arie
3
Khalaf, Lynda
2
Peñaranda, Francisco
2
Sancetta, Alessio
2
Zaffaroni, Paolo
2
Buccheri, Giuseppe
1
Chen, Feng
1
Cipollini, Fabrizio
1
Dahl, Christian M.
1
Duan, Jin-Chuan
1
Dunsmuir, William T.M.
1
Dēmos, Antōnēs A.
1
Fulop, Andras
1
Galli, Fausto
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Hong, Seok Young
1
Hung, Mao-Wei
1
Hurn, Stan
1
Iglesias, Emma M.
1
Inoue, Atsushi
1
Jiang, Binyan
1
Ko, Yi-Chen
1
Kyriakopoulou, Dimitra
1
Laurent, Sébastien
1
Lindsay, Kenneth A.
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
Lovcha, Yuliya
1
Lu, Jin
1
Lucas, André
1
Mancino, Maria Elvira
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Journal of econometrics
194
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
67
Discussion paper / Tinbergen Institute
50
Economics letters
46
Econometric reviews
41
Economic modelling
24
Journal of empirical finance
23
CREATES research paper
22
Econometric theory
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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Econometrics : open access journal
17
International journal of forecasting
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Journal of the American Statistical Association : JASA
17
Insurance / Mathematics & economics
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Journal of banking & finance
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NBER Working Paper
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Quantitative finance
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European journal of operational research : EJOR
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Finance research letters
14
International journal of theoretical and applied finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
Computational economics
13
The North American journal of economics and finance : a journal of financial economics studies
13
Working paper / National Bureau of Economic Research, Inc.
12
CEMMAP working papers / Centre for Microdata Methods and Practice
11
CESifo working papers
11
Journal of economic dynamics & control
11
NBER working paper series
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Working paper
11
Working paper / Department of Econometrics and Business Statistics, Monash University
11
Applied economics
10
Discussion paper
10
SFB 649 discussion paper
10
Statistics in transition : an international journal of the Polish Statistical Association
10
Série des documents de travail
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ECONIS (ZBW)
31
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
Saved in:
3
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
4
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
5
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
6
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:
7
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:
8
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:
9
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
10
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
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