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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Cambridge working papers in economics"
~subject:"Method of moments"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Method of moments
Share price
Estimation theory
273
Schätztheorie
273
Time series analysis
92
Zeitreihenanalyse
92
Estimation
49
Schätzung
49
Nichtparametrisches Verfahren
44
Nonparametric statistics
44
Volatilität
36
Theorie
34
Theory
34
Regression analysis
29
Regressionsanalyse
29
Statistical test
27
Statistischer Test
27
Correlation
26
Korrelation
26
ARCH model
25
ARCH-Modell
25
Stochastic process
23
Stochastischer Prozess
23
Panel
21
Panel study
21
Börsenkurs
19
Cointegration
19
Kointegration
19
Forecasting model
18
Prognoseverfahren
18
Market microstructure
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Marktmikrostruktur
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Capital income
15
Kapitaleinkommen
15
USA
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United States
15
Bootstrap approach
14
Bootstrap-Verfahren
14
Maximum likelihood estimation
14
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Free
36
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6
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22
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24
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English
58
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Linton, Oliver
6
Pesaran, M. Hashem
4
Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Escanciano, Juan Carlos
2
Hayakawa, Kazuhiko
2
Hoderlein, Stefan
2
Kapetanios, George
2
Kristensen, Dennis
2
Lewbel, Arthur
2
Nielsen, Morten Ørregaard
2
Srisuma, Sorawoot
2
Ahlgren, Niklas
1
Amado, Cristina
1
Andersen, Torben
1
Andreasen, Martin M.
1
Andreou, Alena
1
Antell, Jan
1
Bailey, Natalia
1
Balter, Janine
1
Barndorff-Nielsen, Ole E.
1
Bos, Charles S.
1
Bu, Ruijun
1
Bugni, Federico A.
1
Caldeira, João F.
1
Callot, Laurent
1
Candelon, Bertrand
1
Caner, Mehmet
1
Carrasco, Marine
1
Casas, Isabel
1
Cattaneo, Matias D.
1
Cavaliere, Giuseppe
1
Chen, Jia
1
Chen, Yi-ting
1
Cheng, Tingting
1
Christensen, Bent Jesper
1
Chudik, Alexander
1
Colletaz, Gilbert
1
Creel, Michael D.
1
Demetrescum, Matei
1
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University of Cambridge / Department of Applied Economics
1
University of Cambridge / Faculty of Economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
Cambridge working papers in economics
Journal of econometrics
228
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Economics letters
63
Econometric reviews
57
CEMMAP working papers / Centre for Microdata Methods and Practice
42
Econometric theory
40
Discussion paper / Tinbergen Institute
37
Cowles Foundation Discussion Paper
28
Journal of empirical finance
28
Cowles Foundation discussion paper
24
Economic modelling
24
The econometrics journal
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CESifo working papers
21
Econometrics : open access journal
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Journal of banking & finance
21
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Quantitative finance
18
Finance research letters
17
Working paper / Department of Econometrics and Business Statistics, Monash University
17
Journal of financial econometrics
16
NBER Working Paper
16
The North American journal of economics and finance : a journal of financial economics studies
15
Working paper
15
Applied economics letters
14
International journal of forecasting
14
International journal of theoretical and applied finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
International journal of economics and financial issues : IJEFI
13
Applied economics
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
12
NBER working paper series
12
SFB 649 discussion paper
12
Journal of financial economics
11
Regional science & urban economics
11
Working paper / National Bureau of Economic Research, Inc.
11
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ECONIS (ZBW)
58
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
5
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
6
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
7
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
8
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
9
Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2020
Persistent link: https://www.econbiz.de/10013205434
Saved in:
10
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
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