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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Regressionsanalyse"
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Stochastischer Prozess
Volatility
Regressionsanalyse
Estimation theory
176
Schätztheorie
176
Time series analysis
70
Zeitreihenanalyse
70
Estimation
48
Schätzung
48
Volatilität
33
ARCH model
28
ARCH-Modell
28
Regression analysis
21
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Capital income
18
Kapitaleinkommen
18
Statistical test
16
Statistischer Test
16
Stochastic process
16
Cointegration
15
Forecasting model
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Kointegration
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Prognoseverfahren
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Börsenkurs
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Risikomaß
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Risk measure
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Share price
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Theorie
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Theory
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Correlation
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10
Market microstructure
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Markov chain
10
Markov-Kette
10
Marktmikrostruktur
10
Maximum likelihood estimation
9
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9
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English
59
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Bu, Ruijun
2
Hadri, Kaddour
2
Li, Jing
2
Abbara, Omar
1
Ahn, Seung Chan
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Atems, Bebonchu
1
Balter, Janine
1
Baruník, Jozef
1
Bergtold, Jason
1
Blazsek, Szabolcs
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chan, Jennifer So Kuen
1
Chen, Haiqiang
1
Cheng, Jie
1
Chevallier, Julien
1
Chong, Terence Tai-Leung
1
Chu, Ba
1
Chuffart, Thomas
1
Daníelsson, Jón
1
De Angelis, Luca
1
Donayre, Luiggi
1
Enders, Walter
1
Eo, Yunjong
1
Escribano, Álvaro
1
Fan, Jianqing
1
Fan, Yingying
1
Feng, Dingan
1
Flachaire, Emmanuel
1
Fonseca, José da
1
Francq, Christian
1
Frederiksen, Per
1
Gadarowski, Christopher
1
Ghysels, Eric
1
Giet, Ludovic
1
Giordani, Paolo
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
395
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
135
Economics letters
124
Econometric theory
114
CEMMAP working papers / Centre for Microdata Methods and Practice
98
Journal of the American Statistical Association : JASA
95
Econometric reviews
93
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
82
The econometrics journal
67
Discussion paper / Tinbergen Institute
64
Cowles Foundation discussion paper
52
Discussion papers of interdisciplinary research project 373
52
Economic modelling
48
NBER Working Paper
42
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
41
Discussion paper series / IZA
41
European journal of operational research : EJOR
40
Econometrics : open access journal
38
CREATES research paper
36
International journal of forecasting
34
SFB 649 discussion paper
34
NBER working paper series
33
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Journal of risk and financial management : JRFM
30
Computational economics
29
Working paper / Department of Econometrics and Business Statistics, Monash University
29
Insurance / Mathematics & economics
28
KBI
28
Quantitative economics : QE ; journal of the Econometric Society
28
Working paper
28
Cowles Foundation Discussion Paper
27
Journal of empirical finance
27
Working papers / TSE : WP
26
Discussion paper
25
Journal of forecasting
25
Applied economics letters
24
Discussion paper / Center for Economic Research, Tilburg University
24
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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
Time-specific average estimation of dynamic panel regressions
Chu, Ba
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
Saved in:
5
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:
6
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
Saved in:
7
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:
8
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:
9
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
10
Regression discontinuity designs with unknown state-dependent discontinuity points : estimation and testing
Yang, Lixiong
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012054886
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