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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk"
~subject:"Correlation"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Risikomaß
Estimation theory
227
Schätztheorie
227
Forecasting model
82
Prognoseverfahren
82
Time series analysis
80
Zeitreihenanalyse
80
Theorie
54
Theory
54
Estimation
46
Schätzung
46
ARCH model
34
ARCH-Modell
34
Risk measure
34
Volatilität
31
Regression analysis
24
Regressionsanalyse
24
Capital income
23
Kapitaleinkommen
23
Portfolio selection
19
Portfolio-Management
19
Börsenkurs
15
Share price
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Korrelation
14
Statistical distribution
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Statistische Verteilung
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Stochastic process
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USA
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United States
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Market microstructure
11
Marktmikrostruktur
11
Statistical test
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72
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72
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English
72
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Taylor, James W.
3
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Martin, R. Douglas
2
Yu, Keming
2
Zakoïan, Jean-Michel
2
Abad, Pilar
1
Abraham, Bovas
1
Ahlgren, Niklas
1
Ai, Chunrong
1
Ally, Abdallah K.
1
Andreou, Alena
1
Antell, Jan
1
Ardia, David
1
Arias-Sema, María A.
1
Arora, Rohit
1
Arunachalam, Viswanathan
1
Audrino, Francesco
1
Auer, Benjamin R.
1
Balakrishna, N.
1
Baltagi, Badi H.
1
Balter, Janine
1
Baysal, Rafet Evren
1
Belhad, Ahmed
1
Ben-Zion, Uri
1
Benito Muela, Sonia
1
Berens, Tobias
1
Blanco-Fernández, Ángela
1
Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Butler, Andrew
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Caro-Lopera, Francisco J.
1
Carrasco, Marine
1
Chen, Bei
1
Chen, Yi-ting
1
Christoffersen, Peter F.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of forecasting
Journal of risk
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
Economics letters
50
Discussion paper / Tinbergen Institute
39
Econometric reviews
31
Journal of empirical finance
28
Econometric theory
27
Insurance / Mathematics & economics
26
Journal of banking & finance
26
Finance research letters
25
Journal of financial econometrics
24
Quantitative finance
22
SFB 649 discussion paper
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
The econometrics journal
21
Cambridge working papers in economics
20
International journal of forecasting
20
Journal of the American Statistical Association : JASA
20
Econometrics : open access journal
19
CREATES research paper
17
Computational economics
17
Economic modelling
17
International journal of theoretical and applied finance
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
Applied economics
12
Risks : open access journal
12
Working paper / National Bureau of Economic Research, Inc.
12
Working papers
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
The journal of risk model validation
11
Working paper
11
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ECONIS (ZBW)
72
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1
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
2
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
3
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
4
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
5
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
6
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
7
Nonparametric estimation of systemic risk via conditional value-at-risk
Belhad, Ahmed
;
Lauria, Davide
;
Trindade, A. Alexandre
- In:
Journal of risk
25
(
2022
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10013549675
Saved in:
8
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
9
Risk measures : a generalization from the univariate to the matrix-variate
Arias-Sema, María A.
;
Caro-Lopera, Francisco J.
; …
- In:
Journal of risk
23
(
2021
)
4
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012593431
Saved in:
10
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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