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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Noise Trading"
~subject:"Stochastic process"
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Search: subject_exact:"Estimation theory"
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Volatility
Noise Trading
Stochastic process
Estimation theory
215
Schätztheorie
215
Time series analysis
71
Zeitreihenanalyse
71
Estimation
51
Schätzung
51
Volatilität
46
ARCH model
28
ARCH-Modell
28
Stochastischer Prozess
22
Regression analysis
21
Regressionsanalyse
21
Capital income
20
Kapitaleinkommen
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Nichtparametrisches Verfahren
20
Nonparametric statistics
20
Theorie
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Theory
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Option pricing theory
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Optionspreistheorie
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Cointegration
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Kointegration
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Monte Carlo simulation
14
Monte-Carlo-Simulation
14
Portfolio selection
14
Portfolio-Management
14
Market microstructure
12
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12
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11
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11
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English
55
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Bu, Ruijun
2
Gatheral, Jim
2
Hadri, Kaddour
2
Li, Jing
2
Abbara, Omar
1
Albanese, Claudio
1
Albani, Vinícius
1
Ammou, Samir Ben
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Baldeaux, jan
1
Balter, Janine
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bos, Charles S.
1
Buescu, Cristin
1
Caldeira, João F.
1
Carrasco, Marine
1
Cezaro, Adriano de
1
Chan, Jennifer So Kuen
1
Chen, Tzu-ying
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Daníelsson, Jón
1
El Qalli, Yassine
1
Enders, Walter
1
Escribano, Álvaro
1
Fan, Jianqing
1
Fan, Yingying
1
Feng, Dingan
1
Flachaire, Emmanuel
1
Fonseca, José da
1
Francq, Christian
1
Frederiksen, Per
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Ghysels, Eric
1
Giet, Ludovic
1
Goutte, Stéphane
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
International journal of theoretical and applied finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
142
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
49
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
CREATES research paper
28
Economic modelling
27
Econometric theory
25
Journal of empirical finance
22
International journal of forecasting
17
Finance research letters
16
Quantitative finance
16
Journal of banking & finance
15
Journal of financial econometrics
15
SFB 649 discussion paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Cowles Foundation discussion paper
13
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
Mathematics of operations research
11
Computational economics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Finance and stochastics
10
Journal of mathematical finance
10
Operations research
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Insurance / Mathematics & economics
9
NBER Working Paper
9
Working paper
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
8
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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
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
5
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:
6
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:
7
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
8
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:
9
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:
10
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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