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subject:"Nichtparametrisches Verfahren"
subject:"Volatilität"
~accessRights:"restricted"
~isPartOf:"SFB 649 discussion paper"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Search: subject_exact:"Estimation theory"
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Nichtparametrisches Verfahren
Volatilität
Estimation theory
101
Schätztheorie
101
Time series analysis
49
Zeitreihenanalyse
49
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatility
17
Regression analysis
14
Regressionsanalyse
14
Cointegration
13
Kointegration
13
Statistical test
11
Statistischer Test
11
Nonparametric statistics
10
Capital income
9
Kapitaleinkommen
9
Markov chain
9
Markov-Kette
9
Stochastic process
9
Stochastischer Prozess
9
Forecasting model
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Prognoseverfahren
8
cointegration
8
Nichtlineare Regression
7
Nonlinear regression
7
Statistical distribution
7
Statistische Verteilung
7
Structural break
7
Strukturbruch
7
VAR model
7
VAR-Modell
7
Börsenkurs
6
Einheitswurzeltest
6
Share price
6
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Undetermined
Free
39
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Article
27
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Article in journal
27
Aufsatz in Zeitschrift
27
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English
27
Author
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Abbara, Omar
1
Anatolyev, Stanislav
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Chan, Jennifer So Kuen
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Dagum, Estela Bee
1
Daníelsson, Jón
1
Enders, Walter
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Gong, Jinguo
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Hou, Weijie
1
Iacus, Stefano Maria
1
Iglesias, Emma M.
1
Iori, Giulia
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kapar, Burcu
1
Kok Haur Ng
1
Kraicová, Lucie
1
La Spada, Gabriele
1
Lee, Kyungsub
1
Li, Jing
1
Licht, Adrian
1
Lillo, Fabrizio
1
Liu, Wei
1
Luati, Alessandra
1
Maynard, Alex S.
1
McMillan, David G.
1
Niu, Wei-fang
1
Olmo, Jose
1
Panopulu, Aikaterinē
1
Peiris, Shelton
1
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SFB 649 discussion paper
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
230
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Econometric reviews
74
Economics letters
56
Econometric theory
53
The econometrics journal
27
International journal of forecasting
20
Economic modelling
18
European journal of operational research : EJOR
18
Computational economics
15
Finance research letters
13
Journal of financial econometrics
13
Quantitative finance
12
Energy economics
11
Insurance / Mathematics & economics
11
Discussion papers / CEPR
10
Journal of econometric methods
10
Journal of empirical finance
10
Applied economics
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
Journal of banking & finance
9
The North American journal of economics and finance : a journal of financial economics studies
9
Operations research
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of forecasting
7
Journal of productivity analysis
7
Applied economics letters
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
Journal of applied econometrics
6
Journal of mathematical finance
6
Journal of quantitative economics
6
Journal of risk
6
Journal of time series econometrics
6
Annals of finance
5
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
5
SpringerLink / Bücher
5
The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics
5
Working paper / National Bureau of Economic Research, Inc.
5
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
5
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
6
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
7
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
8
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
9
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
10
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
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