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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:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Volatilität
Maximum-Likelihood-Schätzung
Stochastischer Prozess
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
16
Nichtparametrisches Verfahren
12
Nonparametric statistics
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Analysis of variance
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Portfolio selection
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Portfolio-Management
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Statistical distribution
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Statistical test
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Statistische Verteilung
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Statistischer Test
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Capital income
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Kapitaleinkommen
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Prognoseverfahren
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Regression analysis
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Maximum likelihood estimation
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Risikomaß
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Risikoprämie
7
Risk measure
7
Risk premium
7
Stochastic process
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Börsenkurs
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Hafner, Christian M.
4
Bauwens, Luc
3
Preminger, Arie
3
Sancetta, Alessio
2
Buccheri, Giuseppe
1
Chen, Feng
1
Cipollini, Fabrizio
1
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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
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
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Lovcha, Yuliya
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Lu, Jin
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Lucas, André
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Nadler, Philip
1
Nolte, Ingmar
1
Noureldin, Diaa
1
Opschoor, Anne
1
Otranto, Edoardo
1
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1
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Journal of econometrics
212
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
71
Discussion paper / Tinbergen Institute
56
Economics letters
55
Econometric reviews
45
CREATES research paper
33
Econometric theory
31
Economic modelling
30
European journal of operational research : EJOR
23
Journal of empirical finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
The econometrics journal
22
Econometrics : open access journal
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Journal of the American Statistical Association : JASA
21
International journal of forecasting
19
Cowles Foundation discussion paper
18
Finance research letters
18
Insurance / Mathematics & economics
18
Journal of forecasting
18
Journal of risk and financial management : JRFM
18
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
Quantitative finance
17
Computational economics
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
Journal of banking & finance
16
SFB 649 discussion paper
16
International journal of theoretical and applied finance
15
NBER Working Paper
15
Operations research
15
Discussion papers of interdisciplinary research project 373
14
The North American journal of economics and finance : a journal of financial economics studies
14
Working paper
13
Quantitative economics : QE ; journal of the Econometric Society
12
Applied economics
11
Applied economics letters
11
CEMMAP working papers / Centre for Microdata Methods and Practice
11
Discussion paper
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
6
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
7
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
Saved in:
8
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
9
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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