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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of forecasting"
~isPartOf:"The econometrics journal"
~subject:"Autocorrelation"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Estimation theory
439
Schätztheorie
439
Time series analysis
105
Zeitreihenanalyse
105
Forecasting model
91
Prognoseverfahren
91
Regression analysis
76
Regressionsanalyse
76
Theorie
76
Theory
76
Estimation
65
Schätzung
65
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64
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64
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49
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41
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41
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34
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33
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33
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28
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28
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25
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25
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22
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22
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21
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21
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19
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19
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Monte Carlo simulation
19
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19
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Article
54
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Article in journal
Aufsatz in Zeitschrift
54
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English
54
Author
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Baltagi, Badi H.
2
Lee, Lung-fei
2
Liu, Long
2
Sancetta, Alessio
2
Sun, Yixiao
2
Taylor, James W.
2
Taylor, Stephen
2
Abadir, Karim Maher
1
Abraham, Bovas
1
Angelini, Giovanni
1
Baillie, Richard
1
Balakrishna, N.
1
Ben-Zion, Uri
1
Blanco-Fernández, Ángela
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Chang, Pao-li
1
Chen, Bei
1
Chen, Zhao-Guo
1
Chong, Terence Tai-Leung
1
Cipollini, Fabrizio
1
Coudin, Elise
1
Dahl, Christian M.
1
De Angelis, Luca
1
Dufour, Jean-Marie
1
Elliott, Robert J.
1
Fei, Tianlun
1
Fischer, Henning
1
Gallo, Giampiero M.
1
Gel, Yulia R.
1
Ginker, Tim
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Guo, Gangzheng
1
Götz, Thomas B.
1
Hauzenberger, Klemens
1
He, Mengxi
1
Hong, Seok Young
1
Hounyo, Ulrich
1
Hu, Yu-pin
1
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Journal of financial econometrics
Journal of forecasting
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
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)
54
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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
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:
5
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:
6
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:
7
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
8
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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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