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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Applied economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of mathematical finance"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
784
Schätztheorie
784
Theorie
243
Theory
243
Time series analysis
177
Zeitreihenanalyse
177
Estimation
176
Schätzung
176
Nichtparametrisches Verfahren
121
Nonparametric statistics
121
USA
104
United States
104
Regression analysis
101
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101
Forecasting model
56
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56
Volatilität
55
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52
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52
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48
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48
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42
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42
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42
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42
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42
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42
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37
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37
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36
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36
Maximum likelihood estimation
35
Maximum-Likelihood-Schätzung
35
Monte Carlo simulation
35
Monte-Carlo-Simulation
35
Simulation
30
Statistical theory
30
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30
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Article in journal
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55
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English
55
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Ghysels, Eric
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Kim, Jong-Min
2
Shephard, Neil G.
2
Yang, Xiye
2
Abutaleb, Ahmed S.
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Bampinas, Georgios
1
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1
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1
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1
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1
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1
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1
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1
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1
Buccheri, Giuseppe
1
Chan, Joshua
1
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1
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1
Chen, Xiangjin B.
1
Corsi, Fulvio
1
Dueker, Michael
1
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1
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1
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1
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1
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1
Gao, Jiti
1
Gerlach, Richard H.
1
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1
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1
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1
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Applied economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of mathematical finance
Journal of econometrics
116
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
15
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of forecasting
10
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10
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9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
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5
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5
The journal of risk model validation
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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55
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1
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
3
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:
4
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
Saved in:
5
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
6
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
7
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
8
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
9
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
10
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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