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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric theory"
~isPartOf:"International journal of forecasting"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
1,109
Schätztheorie
1,109
Theorie
459
Theory
459
Time series analysis
249
Zeitreihenanalyse
249
Nichtparametrisches Verfahren
136
Nonparametric statistics
136
Forecasting model
125
Prognoseverfahren
125
Regression analysis
123
Regressionsanalyse
121
ARCH model
57
ARCH-Modell
57
Estimation
56
Schätzung
56
Statistical test
52
Statistischer Test
52
Statistical distribution
44
Statistische Verteilung
44
Autocorrelation
37
Autokorrelation
37
Volatilität
33
Statistical theory
32
Statistische Methodenlehre
32
Cointegration
30
Kointegration
30
Panel
27
Panel study
27
Induktive Statistik
26
Statistical inference
26
Method of moments
24
Momentenmethode
24
Probability theory
24
Wahrscheinlichkeitsrechnung
24
Bayes-Statistik
22
Bayesian inference
22
Einheitswurzeltest
22
Stochastic process
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English
51
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Gouriéroux, Christian
3
Jasiak, Joann
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Clements, Adam
2
Ghysels, Eric
2
Kanaya, Shin
2
Li, Jia
2
Renault, Eric
2
Arteche, Josu
1
Bagnato, Luca
1
Bandi, Federico M.
1
Barajas-Solano, David A.
1
Bauwens, Luc
1
Becker, Ralf
1
Bertholon, Henri
1
Buccheri, Giuseppe
1
Cavaliere, Giuseppe
1
Chen, Xiaohong
1
Christopeit, Norbert
1
Cipollini, Fabrizio
1
Corsi, Fulvio
1
Dauxois, Jean-Yves
1
Demetrescu, Matei
1
Dimitrakopoulos, Stefanos
1
Doolan, M. B.
1
Drovandi, Christopher
1
Duffy, James A.
1
Espasa Terrades, Antoni
1
Fermanian, Jean-David
1
Francq, Christian
1
Gallo, Giampiero M.
1
Gefang, Deborah
1
Georgiev, Iliyan
1
Golosnoy, Vasyl
1
Guerre, Emmanuel
1
Han, Chirok
1
Harvey, David I.
1
Hurn, Stan
1
Jansson, Michael
1
Jing, Bingyi
1
Kim, Jihyun
1
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Econometric theory
International journal of forecasting
Série des documents de travail / Centre de Recherche en Économie et Statistique
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
Economic modelling
27
CREATES research paper
26
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
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
SFB 649 discussion paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Cowles Foundation discussion paper
13
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
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
NBER Working Paper
9
Working paper
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
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ECONIS (ZBW)
51
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
Physics-informed Gaussian process regression for states estimation and forecasting in power grids
Tartakovsky, Alexandre M.
;
Ma, Tong
;
Barajas-Solano, …
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 967-980
Persistent link: https://www.econbiz.de/10014465184
Saved in:
5
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
6
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
7
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
8
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
9
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
10
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
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