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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Journal of forecasting"
~language:"eng"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
335
Schätztheorie
335
Theorie
138
Theory
138
Time series analysis
86
Zeitreihenanalyse
86
Regression analysis
77
Regressionsanalyse
77
Forecasting model
72
Prognoseverfahren
72
Nichtparametrisches Verfahren
71
Nonparametric statistics
71
Estimation
45
Schätzung
45
Stochastic process
26
Statistical distribution
23
Statistische Verteilung
23
Statistical test
22
Statistischer Test
22
Volatilität
20
Deutschland
18
Germany
18
Robust statistics
16
Robustes Verfahren
16
Bootstrap approach
15
Bootstrap-Verfahren
15
ARCH model
14
ARCH-Modell
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Capital income
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Kapitaleinkommen
14
Markov chain
14
Markov-Kette
14
USA
13
United States
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VAR model
12
VAR-Modell
12
Börsenkurs
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Cointegration
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Free
12
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Book / Working Paper
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Article
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Arbeitspapier
23
Graue Literatur
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Non-commercial literature
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English
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Spokojnyj, Vladimir G.
7
Härdle, Wolfgang
6
Küchler, Uwe
6
Vasiliev, Vjatscheslav A.
3
Dankenbring, Henning
2
Genon-Catalot, Valentine
2
Herwartz, Helmut
2
Horst, Ulrich
2
Kutoyants, Yu. A.
2
Laredo, Catherine
2
Liptser, R.
2
Nussbaum, Michael
2
Reiß, Markus
2
Taylor, James W.
2
Teyssière, Gilles
2
Abraham, Bovas
1
An, Yang
1
Balakrishna, N.
1
Ben-Zion, Uri
1
Blanco-Fernández, Ángela
1
Chan, Ngai Hang
1
Chen, Bei
1
Fei, Tianlun
1
Fischer, Henning
1
Gel, Yulia R.
1
Grammig, Joachim
1
Guščin, Aleksandr A.
1
Hafner, Christian M.
1
He, Mengxi
1
Hsieh, Ping-hung
1
Hu, Yu-pin
1
Jeon, Jooyoung
1
Ke, Tsung-han
1
Leippold, Markus
1
Li, Zhenwei
1
Lindström, Erik
1
Liu, Xiaoquan
1
Ma, Zhiren
1
Madsen, Henrik
1
Mercurio, Danilo
1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
11
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Discussion papers of interdisciplinary research project 373
Journal of forecasting
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
Economic modelling
27
CREATES research paper
26
Econometric theory
24
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
International journal of forecasting
17
Finance research letters
16
Quantitative finance
16
International journal of theoretical and applied finance
15
Journal of banking & finance
15
Journal of financial econometrics
15
SFB 649 discussion paper
15
European journal of operational research : EJOR
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
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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ECONIS (ZBW)
39
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1
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
Saved in:
2
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:
3
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:
4
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:
5
Short‐term stock price prediction based on limit order book dynamics
An, Yang
;
Chan, Ngai Hang
- In:
Journal of forecasting
36
(
2017
)
5
,
pp. 541-556
Persistent link: https://www.econbiz.de/10011860685
Saved in:
6
Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter
;
Madsen, Henrik
;
Lindström, Erik
- In:
Journal of forecasting
36
(
2017
)
8
,
pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
Saved in:
7
Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Nonejad, Nima
- In:
Journal of forecasting
36
(
2017
)
6
,
pp. 718-740
Persistent link: https://www.econbiz.de/10011861413
Saved in:
8
Predicting stock return volatility : can we benefit from regression models for return intervals?
Fischer, Henning
;
Blanco-Fernández, Ángela
;
Winker, Peter
- In:
Journal of forecasting
35
(
2016
)
2
,
pp. 113-146
Persistent link: https://www.econbiz.de/10011580244
Saved in:
9
Using CAViaR models with implied volatility for value-at-risk estimation
Jeon, Jooyoung
;
Taylor, James W.
- In:
Journal of forecasting
32
(
2013
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10009758719
Saved in:
10
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
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