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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Finance and stochastics"
~subject:"Black-Scholes-Modell"
~subject:"Theory"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Black-Scholes-Modell
Theory
Estimation theory
155
Schätztheorie
155
Time series analysis
62
Zeitreihenanalyse
62
Volatilität
23
Nichtparametrisches Verfahren
22
Nonparametric statistics
22
Theorie
21
Estimation
20
Schätzung
20
Stochastic process
20
Cointegration
14
Kointegration
14
Statistical test
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Statistischer Test
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ARCH model
12
ARCH-Modell
12
Bootstrap approach
11
Bootstrap-Verfahren
11
Forecasting model
10
Induktive Statistik
10
Prognoseverfahren
10
Regression analysis
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Regressionsanalyse
10
Statistical inference
10
USA
10
United States
10
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
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VAR model
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VAR-Modell
8
Option pricing theory
7
Optionspreistheorie
7
Autocorrelation
6
Autokorrelation
6
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6
Nichtlineare Regression
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English
51
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Nielsen, Morten Ørregaard
4
Teräsvirta, Timo
4
Kristensen, Dennis
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
3
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Kock, Anders Bredahl
2
Kruse, Robinson
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Podolskij, Mark
2
Rossi, Eduardo
2
Amado, Cristina
1
Andersen, Torben
1
Anh, V. V.
1
Azencott, Robert
1
Callot, Laurent
1
Callot, Laurent A. F.
1
Caner, Mehmet
1
Casas, Isabel
1
Cattaneo, Matias D.
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Christensen, Kim
1
Corcuera, José Manual
1
Creel, Michael D.
1
Crump, Richard K.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Filipović, Damir
1
Floor Brix, Anne
1
Fukasawa, Masaaki
1
Gao, Kun
1
Gijbels, Irène
1
Gloter, Arnaud
1
Grassi, Stefano
1
Guégan, Dominique
1
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1
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CREATES research paper
Finance and stochastics
Journal of econometrics
494
Economics letters
414
Econometric theory
308
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
244
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
239
Série des documents de travail / Centre de Recherche en Économie et Statistique
160
Econometric reviews
155
Journal of applied econometrics
139
Journal of quantitative economics : official journal of the Indian Econometric Society
138
The review of economics and statistics
123
Discussion paper / Tinbergen Institute
108
Oxford bulletin of economics and statistics
103
Working paper / National Bureau of Economic Research, Inc.
88
Discussion paper / Center for Economic Research, Tilburg University
86
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
84
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
83
Statistical papers
79
CORE discussion paper : DP
78
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
66
The review of economic studies
61
International economic review
59
Annales d'économie et de statistique
57
Journal of forecasting
57
Metrika : international journal for theoretical and applied statistics
57
Applied economics
56
Working paper series
55
Technical working paper / National Bureau of Economic Research
54
American journal of agricultural economics
53
Discussion paper series / IZA
50
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
47
Cowles Foundation discussion paper
47
SFB 649 discussion paper
45
Europäische Hochschulschriften / 5
44
The econometrics journal
44
Journal of the Royal Statistical Society
41
Working paper
41
Economic modelling
40
Journal of economic dynamics & control
39
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
39
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ECONIS (ZBW)
51
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1
Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
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2
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:
3
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
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
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
7
Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio
-
2018
Persistent link: https://www.econbiz.de/10011864983
Saved in:
8
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
9
Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
-
2016
Persistent link: https://www.econbiz.de/10011524100
Saved in:
10
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
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