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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation theory
150
Schätztheorie
150
Time series analysis
63
Zeitreihenanalyse
63
Estimation
52
Schätzung
52
Volatility
30
ARCH model
25
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25
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20
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Sancetta, Alessio
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Buccheri, Giuseppe
1
Chan, Jennifer So Kuen
1
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1
Chevallier, Julien
1
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1
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1
Daníelsson, Jón
1
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1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Gallo, Giampiero M.
1
Goutte, Stéphane
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Hadri, Kaddour
1
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1
Hou, Weijie
1
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1
Inoue, Atsushi
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1
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Kok Haur Ng
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1
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1
Licht, Adrian
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
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1
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MNB working papers
Discussion paper / Tinbergen Institute
Journal of financial econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
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Econometric theory
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International journal of forecasting
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Finance research letters
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11
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
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9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
The European journal of finance
5
The journal of risk model validation
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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ECONIS (ZBW)
30
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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
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
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:
5
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:
6
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:
7
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:
8
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
9
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
10
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
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