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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of banking & finance"
~subject:"Statistischer Test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistischer Test
Estimation theory
74
Schätztheorie
74
Estimation
28
Schätzung
27
Portfolio selection
18
Portfolio-Management
18
Theorie
14
Theory
14
Volatilität
13
Time series analysis
10
Zeitreihenanalyse
10
ARCH model
9
ARCH-Modell
9
Börsenkurs
9
Correlation
9
Forecasting model
9
Korrelation
9
Prognoseverfahren
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Share price
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Credit risk
8
Kreditrisiko
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Risikomaß
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Risk measure
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Capital income
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Kapitaleinkommen
7
Nichtparametrisches Verfahren
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Nonparametric statistics
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Statistical distribution
7
Statistische Verteilung
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USA
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United States
7
Portfolio optimization
6
Risikomanagement
6
Risk management
6
Yield curve
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Zinsstruktur
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Option pricing theory
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Article in journal
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17
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English
17
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Alexander, Carol
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Cenedese, Gino
1
Clements, Adam
1
Escanciano, Juan Carlos
1
Escobar, Marcos
1
Faff, Robert W.
1
Golosnoy, Vasyl
1
Hamid, Alain
1
Jafry, Yusuf
1
Jondeau, Eric
1
Kaeck, Andreas
1
Kanniainen, Juho
1
Lahaye, Jérôme
1
Li, Yifan
1
Lin, Binghuan
1
Murtazashvili, Irina
1
Nolte, Ingmar
1
Okhrin, Yarema
1
Paolella, Marc S.
1
Pei, Pei
1
Perote, Javier
1
Polak, Pawel
1
Post, Thierry
1
Preve, Daniel P. A.
1
Rastegari, Javad
1
Rockinger, Michael
1
Sarno, Lucio
1
Schuermann, Til
1
Stentoft, Lars
1
Taylor, Stephen
1
Tsiakas, Ilias
1
Vasios, Michalis
1
Voev, Valeri
1
Vozlyublennaia, Nadia
1
Walker, Patrick S.
1
Xu, Qi
1
Xu, Xinzhong
1
Yang, Hanxue
1
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Journal of banking & finance
Journal of econometrics
256
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Econometric reviews
76
Economics letters
66
Econometric theory
56
The econometrics journal
45
Economic modelling
31
Econometrics : open access journal
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of empirical finance
24
Journal of financial econometrics
22
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Quantitative economics : QE ; journal of the Econometric Society
20
International journal of forecasting
19
Applied economics letters
18
Quantitative finance
16
Finance research letters
15
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
International journal of theoretical and applied finance
13
Journal of time series econometrics
13
Computational economics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Applied economics
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Journal of applied econometrics
10
European journal of operational research : EJOR
9
Finance and stochastics
9
International journal of economics and financial issues : IJEFI
8
Oxford bulletin of economics and statistics
8
The European journal of finance
8
Cambridge working papers in economics
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of financial economics
7
Journal of mathematical finance
7
Journal of quantitative economics
7
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ECONIS (ZBW)
17
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1
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
2
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
3
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
4
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
5
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
6
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Saved in:
7
The empirical similarity approach for volatility prediction
Golosnoy, Vasyl
;
Hamid, Alain
;
Okhrin, Yarema
- In:
Journal of banking & finance
40
(
2014
),
pp. 321-329
Persistent link: https://www.econbiz.de/10010402690
Saved in:
8
Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino
;
Sarno, Lucio
;
Tsiakas, Ilias
- In:
Journal of banking & finance
42
(
2014
),
pp. 302-313
Persistent link: https://www.econbiz.de/10010408374
Saved in:
9
Estimating and using GARCH models with VIX data for option valuation
Kanniainen, Juho
;
Lin, Binghuan
;
Yang, Hanxue
- In:
Journal of banking & finance
43
(
2014
),
pp. 200-211
Persistent link: https://www.econbiz.de/10010410004
Saved in:
10
Moment-based estimation of stochastic volatility
Bregantini, Daniele
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4755-4764
Persistent link: https://www.econbiz.de/10010342233
Saved in:
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