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subject:"Volatility"
isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Volatility
Estimation theory
339
Schätztheorie
339
Theorie
158
Theory
158
Time series analysis
77
Zeitreihenanalyse
77
Estimation
41
Schätzung
41
Nichtparametrisches Verfahren
32
Nonparametric statistics
32
ARCH model
26
ARCH-Modell
26
Regression analysis
25
Regressionsanalyse
25
Volatilität
22
Statistical distribution
17
Statistische Verteilung
17
Markov chain
16
Markov-Kette
16
Statistical test
16
Statistischer Test
16
Maximum likelihood estimation
15
Maximum-Likelihood-Schätzung
15
Stochastic process
14
Stochastischer Prozess
14
Cointegration
13
Kointegration
13
Monte Carlo simulation
13
Monte-Carlo-Simulation
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10
Simulation
10
Statistical theory
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Statistische Methodenlehre
10
Stichprobenerhebung
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Gouriéroux, Christian
3
Jasiak, Joann
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1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Bertholon, Henri
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Chan, Jennifer So Kuen
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Daníelsson, Jón
1
Enders, Walter
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Ghysels, Eric
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Hou, Weijie
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
1
Kraicová, Lucie
1
Lee, Kyungsub
1
Li, Jing
1
Licht, Adrian
1
Monfort, Alain
1
Niu, Wei-fang
1
Panopulu, Aikaterinē
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Pegoraro, Fulvio
1
Peiris, Shelton
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Péguin-Feissolle, Anne
1
Rosenbaum, Mathieu
1
Silvennoinen, Annastiina
1
Song, Yuping
1
Staněk, Filip
1
Sufana, Razvan
1
Teräsvirta, Timo
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Thanakorn Nitithumbundit
1
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Discussion paper / Tinbergen Institute
27
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
CREATES research paper
15
Quantitative finance
15
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of financial econometrics
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
SFB 649 discussion paper
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
NBER Working Paper
7
Working papers
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Handbook of financial time series
6
International journal of financial engineering
6
Working paper / National Bureau of Economic Research, Inc.
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
Cambridge working papers in economics
5
Discussion paper / Tinbergen Institute / Tinbergen Institute
5
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
5
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
6
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
7
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
8
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
9
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Saved in:
10
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
Saved in:
11
Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data
Lee, Kyungsub
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 19-36
Persistent link: https://www.econbiz.de/10011431109
Saved in:
12
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 347-364
Persistent link: https://www.econbiz.de/10011649097
Saved in:
13
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
14
Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
4
,
pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
Saved in:
15
Estimating C-CAPM and the equity premium over the frequency domain
Kalyvitēs, Sarantēs
;
Panopulu, Aikaterinē
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 551-571
Persistent link: https://www.econbiz.de/10010228554
Saved in:
16
Estimation of the volatility persistence in a discretly observed diffusion model
Rosenbaum, Mathieu
-
2006
Persistent link: https://www.econbiz.de/10003342570
Saved in:
17
A degeneracy in the analysis of volatility and covolatility effects
Gouriéroux, Christian
;
Jasiak, Joann
-
2006
Persistent link: https://www.econbiz.de/10003468054
Saved in:
18
Pricing and inference with mixtures on conditionally normal processes
Bertholon, Henri
;
Monfort, Alain
;
Pegoraro, Fulvio
-
2006
Persistent link: https://www.econbiz.de/10003447913
Saved in:
19
Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?
Trifi, Amine
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
10
(
2006
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10003559185
Saved in:
20
The wishart autoregressive of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
-
2004
Persistent link: https://www.econbiz.de/10002597955
Saved in:
21
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
-
1997
Persistent link: https://www.econbiz.de/10000980453
Saved in:
22
Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code
Daníelsson, Jón
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
1
(
1996
)
1
,
pp. 39-34
Persistent link: https://www.econbiz.de/10001769603
Saved in:
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