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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of quantitative economics"
~isPartOf:"The econometrics journal"
~subject:"Autocorrelation"
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Search: subject_exact:"Estimation theory"
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Subject
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Volatility
Autocorrelation
Estimation theory
362
Schätztheorie
362
Regression analysis
70
Regressionsanalyse
70
Nichtparametrisches Verfahren
62
Nonparametric statistics
62
Time series analysis
59
Zeitreihenanalyse
59
Estimation
56
Schätzung
55
Statistical test
47
Statistischer Test
47
Panel
43
Panel study
43
Theorie
31
Theory
31
Volatilität
29
Forecasting model
26
Prognoseverfahren
26
Induktive Statistik
25
Statistical distribution
25
Statistical inference
25
Statistische Verteilung
25
ARCH model
23
ARCH-Modell
23
Bootstrap approach
20
Bootstrap-Verfahren
20
Correlation
19
Instrumental variables
19
Korrelation
19
Monte Carlo simulation
18
Monte-Carlo-Simulation
18
Autokorrelation
17
Method of moments
17
Momentenmethode
17
Modellierung
16
Scientific modelling
16
Bayes-Statistik
15
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Undetermined
29
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3
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Article
47
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Article in journal
Aufsatz in Zeitschrift
47
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English
47
Author
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Kayal, Parthajit
2
Lee, Lung-fei
2
Maheswaran, S.
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
Chakravarty, Ranjan R.
1
Chang, Pao-li
1
Chaturvedi, Anoop
1
Chong, Terence Tai-Leung
1
Cipollini, Fabrizio
1
Coudin, Elise
1
Dahl, Christian M.
1
Dufour, Jean-Marie
1
Dutta, Sumanjay
1
Elliott, Robert J.
1
Gallo, Giampiero M.
1
Ginker, Tim
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Guo, Gangzheng
1
Götz, Thomas B.
1
Hauzenberger, Klemens
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
Jaiswal, Shivam
1
Jiang, Binyan
1
Kalliovirta, Leena
1
Kao, Chihwa
1
Kapetanios, George
1
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Journal of financial econometrics
Journal of quantitative economics
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 journal of financial engineering
6
International review of financial analysis
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
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
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:
8
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
Saved in:
9
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
10
The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Dahl, Christian M.
;
Iglesias, Emma M.
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 139-159
Persistent link: https://www.econbiz.de/10012878189
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