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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of forecasting"
~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
466
Schätztheorie
466
Forecasting model
133
Prognoseverfahren
133
Time series analysis
114
Zeitreihenanalyse
114
Regression analysis
80
Regressionsanalyse
78
Nichtparametrisches Verfahren
72
Nonparametric statistics
72
Estimation
68
Schätzung
68
Theorie
51
Theory
51
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50
Statistischer Test
50
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42
Panel study
42
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38
ARCH model
35
ARCH-Modell
35
Statistical distribution
33
Statistische Verteilung
33
Induktive Statistik
25
Statistical inference
25
Correlation
23
Korrelation
23
Bayes-Statistik
22
Bayesian inference
22
Modellierung
21
Scientific modelling
21
Autokorrelation
20
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20
Bootstrap-Verfahren
20
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20
VAR-Modell
20
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Article
58
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Article in journal
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58
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English
58
Author
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Buccheri, Giuseppe
2
Cipollini, Fabrizio
2
Clements, Adam
2
Gallo, Giampiero M.
2
Lee, Lung-fei
2
Lucas, André
2
Sancetta, Alessio
2
Sucarrat, Genaro
2
Sun, Yixiao
2
Taylor, Stephen
2
Abadir, Karim Maher
1
Bagnato, Luca
1
Baillie, Richard
1
Baltagi, Badi H.
1
Bauwens, Luc
1
Becker, Ralf
1
Cai, Charlie X.
1
Canale, Antonio
1
Chang, Pao-li
1
Chong, Terence Tai-Leung
1
Corsi, Fulvio
1
Coudin, Elise
1
Cubadda, Gianluca
1
Dahl, Christian M.
1
Demetrescu, Matei
1
Doolan, M. B.
1
Drovandi, Christopher
1
Dufour, Jean-Marie
1
Elliott, Robert J.
1
Gefang, Deborah
1
Ginker, Tim
1
Golosnoy, Vasyl
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Guardabascio, Barbara
1
Guo, Gangzheng
1
Götz, Thomas B.
1
Hauzenberger, Klemens
1
Hong, Seok Young
1
Hounyo, Ulrich
1
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International journal of forecasting
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
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 journal of financial engineering
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)
58
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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
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:
3
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:
4
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
5
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:
6
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:
7
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:
8
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
9
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
10
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
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