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subject:"Volatility"
subject:"Volatilität"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The journal of futures markets"
~subject:"ARCH model"
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Volatility
Volatilität
ARCH model
Estimation
559
Schätzung
559
Theorie
203
Theory
203
USA
182
United States
181
Estimation theory
132
Schätztheorie
132
Time series analysis
100
Zeitreihenanalyse
100
Forecasting model
74
Prognoseverfahren
74
Börsenkurs
68
Share price
68
Nichtparametrisches Verfahren
67
Nonparametric statistics
67
Capital income
62
Kapitaleinkommen
62
Regression analysis
41
Regressionsanalyse
41
ARCH-Modell
40
Option pricing theory
39
Optionspreistheorie
39
Stochastic process
37
Stochastischer Prozess
37
Index futures
36
Index-Futures
36
Commodity derivative
34
Rohstoffderivat
34
Statistical distribution
32
Statistische Verteilung
32
Großbritannien
30
United Kingdom
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Bayes-Statistik
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29
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28
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Article
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English
139
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Agarwalla, Sobhesh Kumar
2
Chan, Joshua
2
Ederington, Louis H.
2
Fonseca, José da
2
Gerlach, Richard H.
2
Hansen, Peter Reinhard
2
Hautsch, Nikolaus
2
Huang, Zhuo
2
Lai, Yu-Sheng
2
Li, Jia
2
Li, Wai Keung
2
Lim, Kian-Guan
2
Moffitt, Robert A.
2
Mumtaz, Haroon
2
Tsay, Ruey S.
2
Tse, Yiu Kuen
2
Venditti, Fabrizio
2
Wang, George H. K.
2
Zaatour, Riadh
2
Alexiou, Lykourgos
1
Amado, Cristina
1
Anderson, Heather M.
1
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1
Arisoy, Yakup Eser
1
Bali, Turan G.
1
Bansal, Naresh K.
1
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1
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Bibinger, Markus
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Binh Hoang Nguyen
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1
Brailsford, Timothy J.
1
Buccheri, Giuseppe
1
Byström, Hans N. E.
1
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of futures markets
Energy economics
144
Applied economics
141
Finance research letters
128
Economic modelling
126
International review of economics & finance : IREF
118
Journal of econometrics
111
International review of financial analysis
108
The North American journal of economics and finance : a journal of financial economics studies
105
Journal of empirical finance
91
Journal of banking & finance
90
Applied economics letters
86
Applied financial economics
84
Working paper / National Bureau of Economic Research, Inc.
83
Working paper
79
NBER working paper series
78
Journal of international financial markets, institutions & money
77
Research in international business and finance
74
NBER Working Paper
71
Journal of international money and finance
70
Discussion paper / Tinbergen Institute
65
Economics letters
62
Journal of risk and financial management : JRFM
58
CESifo working papers
56
International journal of forecasting
53
The European journal of finance
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Discussion paper / Centre for Economic Policy Research
49
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
International journal of finance & economics : IJFE
48
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
Journal of financial econometrics : official journal of the Society for Financial Econometrics
42
International Journal of Energy Economics and Policy : IJEEP
38
International journal of economics and finance
38
International journal of economics and financial issues : IJEFI
38
Pacific-Basin finance journal
38
Journal of financial economics
37
Quantitative finance
37
Discussion paper
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ECONIS (ZBW)
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1
Credit default swaps and firm risk
Lin, Hai
;
Binh Hoang Nguyen
;
Wang, Junbo
;
Zhang, Cheng
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
Saved in:
2
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
3
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
4
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
5
Realized quantiles
Dimitriadis, Timo
;
Halbleib, Roxana
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1346-1361
Persistent link: https://www.econbiz.de/10013539526
Saved in:
6
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
7
High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John
;
Orlov, Alexei G.
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
Saved in:
8
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
9
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
10
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
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