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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric reviews"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
434
Schätztheorie
434
Theorie
131
Theory
131
Time series analysis
85
Zeitreihenanalyse
85
Nichtparametrisches Verfahren
81
Nonparametric statistics
81
Regression analysis
64
Regressionsanalyse
64
Statistical test
56
Statistischer Test
56
Panel
55
Panel study
55
Estimation
54
Schätzung
54
Method of moments
35
Momentenmethode
35
Autocorrelation
29
Autokorrelation
29
Statistical theory
27
Statistische Methodenlehre
27
Cointegration
24
Bootstrap approach
23
Bootstrap-Verfahren
23
Kointegration
23
Simulation
22
Modellierung
21
Monte Carlo simulation
21
Monte-Carlo-Simulation
21
Scientific modelling
21
Statistical distribution
21
Statistische Verteilung
21
Volatilität
20
Maximum likelihood estimation
19
Maximum-Likelihood-Schätzung
19
Kleinste-Quadrate-Methode
18
Least squares method
18
Stochastic process
15
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27
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27
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Teräsvirta, Timo
3
Amado, Cristina
1
Bao, Yong
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Blasques, Francisco
1
Boswijk, Herman Peter
1
Brownlees, Christian
1
Cai, Yuzhi
1
Cai, Zongwu
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Chen, Qiang
1
De Angelis, Luca
1
Dong, Chaohua
1
Fernandes, Marcelo
1
Fornari, Fabio
1
Galbraith, John W.
1
Gao, Jiti
1
Gu, Wentao
1
Hansen, Peter Reinhard
1
Hoshikawa, Toshiya
1
Hu, Meidi
1
Hurn, Stan
1
Kanatani, Taro
1
Koopman, Siem Jan
1
Large, Jeremy
1
León-González, Roberto
1
Li, Dong
1
Lucas, André
1
Lunde, Asger
1
Maasoumi, Esfandiar
1
Martin, Vance
1
Marín, J. Miguel
1
McAleer, Michael
1
Medeiros, Marcelo C.
1
Mele, Antonio
1
Mesters, G.
1
Nagai, Keiji
1
Nishiyama, Yoshihiko
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Econometric reviews
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Economics letters
35
Economic modelling
27
Econometric theory
24
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
International journal of forecasting
17
Finance research letters
16
Quantitative finance
16
International journal of theoretical and applied finance
15
Journal of banking & finance
15
Journal of financial econometrics
15
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Mathematics of operations research
11
Computational economics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Finance and stochastics
10
Journal of mathematical finance
10
Operations research
10
Insurance / Mathematics & economics
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
8
Applied economics
7
Applied economics letters
7
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
International journal of financial engineering
7
Journal of productivity analysis
7
Journal of the American Statistical Association : JASA
7
Quantitative economics : QE ; journal of the Econometric Society
7
Risks : open access journal
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Specification tests for univariate diffusions
Hurn, Stan
;
Martin, Vance
;
Xu, Lina
- In:
Econometric reviews
41
(
2022
)
6
,
pp. 607-632
Persistent link: https://www.econbiz.de/10013364897
Saved in:
3
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
4
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
5
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
6
Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
Dong, Chaohua
;
Gao, Jiti
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 125-150
Persistent link: https://www.econbiz.de/10012180710
Saved in:
7
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
Saved in:
8
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
9
A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang
;
Hu, Meidi
;
Song, Xiaojun
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
Saved in:
10
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 899-920
Persistent link: https://www.econbiz.de/10012181373
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