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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The econometrics journal"
~subject:"Autocorrelation"
~subject:"Theorie"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Theorie
Estimation theory
316
Schätztheorie
316
Nichtparametrisches Verfahren
61
Nonparametric statistics
61
Regression analysis
59
Regressionsanalyse
59
Time series analysis
51
Zeitreihenanalyse
51
Estimation
47
Schätzung
47
Statistical test
45
Statistischer Test
45
Panel
40
Panel study
40
Theory
31
Induktive Statistik
24
Statistical inference
24
Volatilität
24
Statistical distribution
23
Statistische Verteilung
23
ARCH model
22
ARCH-Modell
22
Forecasting model
20
Prognoseverfahren
20
Bootstrap approach
18
Bootstrap-Verfahren
18
Correlation
17
Korrelation
17
Autokorrelation
16
Modellierung
16
Scientific modelling
16
Instrumental variables
15
Method of moments
15
Momentenmethode
15
Monte Carlo simulation
15
Monte-Carlo-Simulation
15
Heteroscedasticity
14
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24
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3
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Article
71
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Article in journal
Aufsatz in Zeitschrift
71
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English
71
Author
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Baltagi, Badi H.
2
Hausman, Jerry A.
2
Lee, Lung-fei
2
Perron, Pierre
2
Sancetta, Alessio
2
Sun, Yixiao
2
Taylor, Stephen
2
Abadir, Karim Maher
1
Abrevaya, Jason
1
Bai, Jushan
1
Baillie, Richard
1
Bravo, Francesco
1
Breslaw, Jon A.
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Chang, Pao-li
1
Chong, Terence Tai-Leung
1
Cipollini, Fabrizio
1
Coudin, Elise
1
Dahl, Christian M.
1
Danilov, Dmitry L.
1
Dufour, Jean-Marie
1
Elliott, Robert J.
1
Fan, Jianqing
1
Frühwirth-Schnatter, Sylvia
1
Gallo, Giampiero M.
1
Ginker, Tim
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gu, Juan
1
Guo, Gangzheng
1
Götz, Thomas B.
1
Gørgens, Tue
1
Hahn, Jinyong
1
Hauzenberger, Klemens
1
Hoderlein, Stefan
1
Hong, Seok Young
1
Hoover, Kevin D.
1
Hounyo, Ulrich
1
Hubner, Stefan
1
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Journal of financial econometrics
The econometrics journal
Journal of econometrics
540
Economics letters
434
Econometric theory
325
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
249
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
244
Econometric reviews
176
Journal of quantitative economics : official journal of the Indian Econometric Society
138
Journal of applied econometrics
136
The review of economics and statistics
123
Oxford bulletin of economics and statistics
104
Statistical papers
79
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
69
The review of economic studies
61
International economic review
59
Annales d'économie et de statistique
57
Journal of forecasting
57
Metrika : international journal for theoretical and applied statistics
57
Applied economics
55
American journal of agricultural economics
51
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
47
Journal of empirical finance
41
Journal of the Royal Statistical Society
41
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
39
Journal of economic dynamics & control
38
International journal of forecasting
37
Economic modelling
36
International economic journal
35
The Indian economic journal
35
Journal of productivity analysis
32
Journal of banking & finance
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
The journal of finance : the journal of the American Finance Association
25
Jahrbücher für Nationalökonomie und Statistik
24
The Indian journal of economics
24
Journal of international money and finance
23
Regional science & urban economics
23
The journal of futures markets
23
Economie & prévision : EP
22
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ECONIS (ZBW)
71
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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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