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subject:"Share price"
subject:"United Kingdom"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Volatilität"
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Share price
United Kingdom
Volatilität
Estimation theory
210
Schätztheorie
210
Time series analysis
79
Zeitreihenanalyse
79
Estimation
33
Schätzung
33
Volatility
31
Nichtparametrisches Verfahren
28
Nonparametric statistics
28
Theorie
27
Theory
27
ARCH model
23
ARCH-Modell
23
Stochastic process
22
Stochastischer Prozess
22
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Regressionsanalyse
17
Statistical test
17
Statistischer Test
17
Cointegration
16
Forecasting model
16
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16
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16
USA
14
United States
14
Bootstrap approach
13
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13
Market microstructure
13
Marktmikrostruktur
13
Capital income
12
Kapitaleinkommen
12
Correlation
11
Korrelation
11
Maximum likelihood estimation
11
Maximum-Likelihood-Schätzung
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English
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Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Kristensen, Dennis
2
Nielsen, Morten Ørregaard
2
Ahlgren, Niklas
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Barndorff-Nielsen, Ole E.
1
Bos, Charles S.
1
Caldeira, João F.
1
Callot, Laurent
1
Carrasco, Marine
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Creel, Michael D.
1
Demetrescum, Matei
1
Engle, Robert F.
1
Ergemen, Yunus Emre
1
Fan, Jianqing
1
Fan, Yingying
1
Floor Brix, Anne
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Gijbels, Irène
1
Grassi, Stefano
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Hounyo, Ulrich
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Jakobsen, Johan Stax
1
Janus, Paweł
1
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1
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CREATES research paper
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
135
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Economics letters
33
Discussion paper / Tinbergen Institute
31
Journal of empirical finance
27
Econometric reviews
23
Economic modelling
22
Journal of banking & finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Quantitative finance
19
Econometric theory
18
Finance research letters
16
Journal of applied econometrics
16
International journal of forecasting
15
Journal of financial econometrics
15
NBER Working Paper
15
Working paper
15
International journal of economics and financial issues : IJEFI
14
International journal of theoretical and applied finance
14
Journal of forecasting
14
NBER working paper series
14
Oxford bulletin of economics and statistics
14
The North American journal of economics and finance : a journal of financial economics studies
14
Working paper / National Bureau of Economic Research, Inc.
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of risk and financial management : JRFM
13
The econometrics journal
13
Discussion paper
12
Applied economics
11
Cambridge working papers in economics
11
SFB 649 discussion paper
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
International review of financial analysis
10
Journal of mathematical finance
10
The journal of finance : the journal of the American Finance Association
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
CEMMAP working papers / Centre for Microdata Methods and Practice
9
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ECONIS (ZBW)
37
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
4
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
5
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
7
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
8
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
9
Estimation and forecasting of large realized covariance matrices and portfolio choice
Callot, Laurent
;
Kock, Anders B.
;
Medeiros, Marcelo C.
-
2014
Persistent link: https://www.econbiz.de/10010433252
Saved in:
10
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
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