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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of financial engineering"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The econometrics journal"
~subject:"Autocorrelation"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Estimation theory
328
Schätztheorie
328
Nichtparametrisches Verfahren
63
Nonparametric statistics
63
Regression analysis
60
Regressionsanalyse
60
Time series analysis
54
Zeitreihenanalyse
54
Estimation
53
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53
Statistical test
45
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40
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40
Theorie
31
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31
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25
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25
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24
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24
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22
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22
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20
Prognoseverfahren
20
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19
Bootstrap-Verfahren
19
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18
Korrelation
18
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16
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16
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Heteroscedasticity
15
Heteroskedastizität
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Instrumental variables
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Article
47
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Article in journal
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47
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English
47
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Lee, Lung-fei
2
Sancetta, Alessio
2
Sun, Yixiao
2
Taylor, Stephen
2
Abadir, Karim Maher
1
Baillie, Richard
1
Baltagi, Badi H.
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Chan, Leunglung
1
Chang, Pao-li
1
Chen, Bangren
1
Chong, Terence Tai-Leung
1
Cipollini, Fabrizio
1
Coudin, Elise
1
Cui, Zhenyu
1
Dahl, Christian M.
1
Das, Milan Kumar
1
Dufour, Jean-Marie
1
Elliott, Robert J.
1
Florescu, Ionuţ
1
Gallo, Giampiero M.
1
Gardi, Bayar
1
Ginker, Tim
1
Goswami, Anindya
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Guo, Gangzheng
1
Götz, Thomas B.
1
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1
Hong, Seok Young
1
Hounyo, Ulrich
1
Hubner, Stefan
1
Hung, Mao-Wei
1
Iglesias, Emma M.
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Jiang, Binyan
1
Kalliovirta, Leena
1
Kanwal, Samra
1
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International journal of financial engineering
Journal of financial econometrics
The econometrics journal
Journal of econometrics
190
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
Economics letters
59
Econometric reviews
51
Econometric theory
45
Journal of empirical finance
27
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International journal of forecasting
17
Econometrics : open access journal
16
Quantitative finance
16
Finance research letters
14
Journal of banking & finance
14
Applied economics letters
13
International journal of theoretical and applied finance
13
Journal of forecasting
13
Regional science & urban economics
13
Journal of risk and financial management : JRFM
12
The North American journal of economics and finance : a journal of financial economics studies
12
International journal of economics and financial issues : IJEFI
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Computational economics
8
Finance and stochastics
8
Applied economics
7
European journal of operational research : EJOR
7
Journal of mathematical finance
7
Spatial economic analysis : the journal of the Regional Studies Association
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International review of financial analysis
6
Journal of quantitative economics
6
Journal of risk
6
Journal of the American Statistical Association : JASA
6
Journal of time series econometrics
6
Oxford bulletin of economics and statistics
6
The European journal of finance
6
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ECONIS (ZBW)
47
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Robust nonparametric estimation for the volatility of financial market
Kao, Chunyu
;
Song, Yuping
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014251158
Saved in:
3
Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar
;
Zhang, Hailiang
;
Kanwal, Samra
; …
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
Saved in:
4
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
5
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:
6
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
7
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
8
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
9
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
10
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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