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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"The econometrics journal"
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Stochastischer Prozess
Volatility
Estimation theory
267
Schätztheorie
267
Nichtparametrisches Verfahren
59
Nonparametric statistics
59
Regression analysis
55
Regressionsanalyse
55
Panel
39
Panel study
39
Time series analysis
37
Zeitreihenanalyse
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Statistical test
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Statistischer Test
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Theorie
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Theory
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Estimation
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Schätzung
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Induktive Statistik
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Statistical inference
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Instrumental variables
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Statistical distribution
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Statistische Verteilung
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ARCH-Modell
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Autocorrelation
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Autokorrelation
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Heteroscedasticity
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Heteroskedastizität
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Monte-Carlo-Simulation
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Abadir, Karim Maher
1
Chen, Jia
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Coudin, Elise
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Dufour, Jean-Marie
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Gao, Jiti
1
Götz, Thomas B.
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Lin, Zhengyan
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1
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1
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Wu, Jilin
1
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The econometrics journal
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Economics letters
35
Econometric reviews
27
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
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Journal of risk and financial management : JRFM
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Econometrics : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
12
Mathematics of operations research
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Computational economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Finance and stochastics
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Journal of mathematical finance
10
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Insurance / Mathematics & economics
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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
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Applied economics
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Applied economics letters
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Asia-Pacific financial markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International journal of financial engineering
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Journal of productivity analysis
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Journal of the American Statistical Association : JASA
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Risks : open access journal
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
3
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
4
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
5
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
Saved in:
6
Testing for structural change under non-stationary variances
Xu, Ke-Li
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
Saved in:
7
Specification testing in nonstationary time series models
Chen, Jia
;
Gao, Jiti
;
Li, Degui
;
Lin, Zhengyan
- In:
The econometrics journal
18
(
2015
)
1
,
pp. 117-136
Persistent link: https://www.econbiz.de/10011345989
Saved in:
8
Asymptotics for threshold regression under general conditions
Yu, Ping
;
Zhao, Yongqiang
- In:
The econometrics journal
16
(
2013
)
3
,
pp. 430-462
Persistent link: https://www.econbiz.de/10010253632
Saved in:
9
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D.
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
Saved in:
10
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise
;
Dufour, Jean-Marie
- In:
The econometrics journal
12
(
2009
),
pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
Saved in:
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