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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Econometric theory"
~isPartOf:"The journal of risk model validation"
~subject:"Correlation"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Risikomaß
Estimation theory
818
Schätztheorie
818
Theorie
294
Theory
294
Time series analysis
182
Zeitreihenanalyse
182
Nichtparametrisches Verfahren
115
Nonparametric statistics
115
Regression analysis
101
Regressionsanalyse
101
ARCH model
53
ARCH-Modell
53
Estimation
52
Schätzung
52
Statistical test
50
Statistischer Test
50
Volatilität
37
Autocorrelation
33
Autokorrelation
33
Statistical distribution
29
Statistische Verteilung
29
Method of moments
27
Momentenmethode
27
Cointegration
26
Kointegration
26
Induktive Statistik
23
Panel
23
Panel study
23
Statistical inference
23
Statistical theory
23
Statistische Methodenlehre
23
Einheitswurzeltest
22
Unit root test
22
Korrelation
21
Risk measure
21
Stochastic process
21
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21
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71
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English
71
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Francq, Christian
3
Chlebus, Marcin
2
Corsi, Fulvio
2
Ghysels, Eric
2
Horváth, Lajos
2
Li, Jia
2
Phillips, Peter C. B.
2
Westgaard, Sjur
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Arhus, Gisle Hoel
1
Audrino, Francesco
1
Balter, Janine
1
Biljon, L. van
1
Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Buczy´nski, Mateusz
1
Buczyński, Mateusz
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Carrasco, Marine
1
Cavaliere, Giuseppe
1
Chen, Xiaohong
1
Chen, Yi-ting
1
Christoffersen, Peter F.
1
Croux, Christophe
1
Curcic, Nikola
1
Czellar, Veronika
1
Dehling, Herold
1
Donald, Stephen G.
1
Dupuis, Debbie J.
1
Fan, Jianqing
1
Fan, Yingying
1
Fałdziński, Marcin
1
Figueroa-López, José E.
1
Fortuna, Natércia
1
Frederiksen, Per
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometric theory
The journal of risk model validation
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
80
Economics letters
50
Discussion paper / Tinbergen Institute
39
Econometric reviews
31
Finance research letters
29
Journal of empirical finance
28
Insurance / Mathematics & economics
26
Journal of banking & finance
26
Journal of risk
25
Journal of financial econometrics
24
Quantitative finance
23
The econometrics journal
23
Econometrics : open access journal
22
SFB 649 discussion paper
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Cambridge working papers in economics
20
International journal of forecasting
20
Journal of the American Statistical Association : JASA
20
Computational economics
18
CREATES research paper
17
Economic modelling
17
International journal of theoretical and applied finance
17
Journal of forecasting
17
NBER Working Paper
16
Applied economics letters
14
Journal of risk and financial management : JRFM
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
13
The North American journal of economics and finance : a journal of financial economics studies
13
Working papers
13
Applied economics
12
Risks : open access journal
12
Working paper / National Bureau of Economic Research, Inc.
12
European journal of operational research : EJOR
11
Journal of mathematical finance
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Working paper
11
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ECONIS (ZBW)
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1
Kernel estimation of spot volatility with microstructure noise using pre-averaging
Figueroa-López, José E.
;
Wu, Bei
- In:
Econometric theory
40
(
2024
)
3
,
pp. 558-607
Persistent link: https://www.econbiz.de/10015055107
Saved in:
2
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
3
Estimating value-at-risk using quantile regression and implied volatilities
Lange, Petter Eilif de
;
Risstad, Morten
;
Westgaard, Sjur
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
Saved in:
4
The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
Saved in:
5
Identification and estimation in a correlated random coefficients transformation model
Zhang, ZhengYu
;
Jin, Zequn
;
Mu, Beili
- In:
Econometric theory
38
(
2022
)
4
,
pp. 621-688
Persistent link: https://www.econbiz.de/10013366923
Saved in:
6
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
7
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
8
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
9
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
10
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
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