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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~language:"eng"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
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Search: subject_exact:"Estimation theory"
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Volatility
Multivariate Analyse
Noise Trading
Estimation theory
99
Schätztheorie
99
Time series analysis
29
Zeitreihenanalyse
29
Estimation
27
Schätzung
27
Volatilität
27
ARCH model
20
ARCH-Modell
20
Risikomaß
14
Risk measure
14
Capital income
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Kapitaleinkommen
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Börsenkurs
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Forecasting model
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Market microstructure
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Marktmikrostruktur
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Prognoseverfahren
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Share price
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Regression analysis
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Regressionsanalyse
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Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Theorie
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Theory
10
Correlation
9
Korrelation
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Stochastic process
9
Stochastischer Prozess
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Portfolio selection
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Portfolio-Management
7
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
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Noise trading
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Analysis of variance
5
CAPM
5
GARCH
5
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English
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Alañón Pardo, Ángel
1
Andreou, Alena
1
Arize, Augustine Chuck
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Cathy W. S.
1
Corsi, Fulvio
1
Díaz-Mendoza, Ana-Carmen
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Guillén, Montserrat
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Horváth, Roman
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Kumar, Satish
1
Kunitomo, Naoto
1
Li, Leon
1
Li, Yingying
1
Lin, Tsai-Yu
1
Liu, Qiang
1
Liu, Yiqi
1
Liu, Zhi
1
Lv, Jinchi
1
Mancino, Maria Elvira
1
Mira, Antonietta
1
Moneva, J. M.
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
135
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
28
Econometric reviews
24
Economics letters
24
Journal of empirical finance
21
Econometric theory
20
CREATES research paper
19
Journal of the American Statistical Association : JASA
19
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
International journal of forecasting
16
Quantitative finance
15
SFB 649 discussion paper
14
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Journal of forecasting
13
The econometrics journal
13
Econometrics : open access journal
11
Journal of risk and financial management : JRFM
11
KBI
10
Working papers
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
NBER Working Paper
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Applied economics
7
Computational economics
7
Discussion paper / Center for Economic Research, Tilburg University
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
7
Insurance / Mathematics & economics
7
International journal of financial engineering
7
Journal of mathematical finance
7
Applied economics letters
6
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1
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
2
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
3
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
4
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
5
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
Saved in:
6
Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
Saved in:
7
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
8
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
9
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
10
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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