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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
ARCH model
Estimation theory
1,890
Schätztheorie
1,890
Theorie
425
Theory
425
Zeitreihenanalyse
378
Time series analysis
377
Nichtparametrisches Verfahren
359
Nonparametric statistics
359
Regression analysis
326
Regressionsanalyse
326
Estimation
249
Schätzung
245
Statistical test
164
Statistischer Test
164
Panel
159
Panel study
159
Forecasting model
145
Prognoseverfahren
145
Volatilität
130
Method of moments
100
Momentenmethode
99
Maximum likelihood estimation
89
Maximum-Likelihood-Schätzung
89
Induktive Statistik
85
Statistical inference
85
Autocorrelation
84
Autokorrelation
84
Bootstrap approach
83
Bootstrap-Verfahren
83
Statistical distribution
76
Statistische Verteilung
76
Stochastic process
75
Cointegration
71
Kointegration
70
Instrumental variables
69
ARCH-Modell
63
Causality analysis
63
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14
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182
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13
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182
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English
195
Author
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Francq, Christian
10
Todorov, Viktor
10
Zakoïan, Jean-Michel
8
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Li, Dong
5
Li, Yingying
5
Zhu, Ke
5
Härdle, Wolfgang
4
Mykland, Per A.
4
Park, Joon Y.
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Li, Guodong
3
Meddahi, Nour
3
Spokojnyj, Vladimir G.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Andreou, Elena
2
Andrews, Donald W. K.
2
Chen, Song Xi
2
Clinet, Simon
2
Delaigle, Aurore
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Jasiak, Joann
2
Jiang, Feiyu
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Küchler, Uwe
2
Laurent, Sébastien
2
Li, Muyi
2
Li, Wai Keung
2
Lieberman, Offer
2
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
13
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Discussion papers of interdisciplinary research project 373
Journal of econometrics
Journal of forecasting
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Econometric theory
58
Economics letters
48
Discussion paper / Tinbergen Institute
47
Econometric reviews
38
CREATES research paper
35
Journal of empirical finance
30
Economic modelling
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
The econometrics journal
23
Finance research letters
21
International journal of forecasting
20
Journal of banking & finance
19
Journal of financial econometrics
19
SFB 649 discussion paper
18
Journal of risk and financial management : JRFM
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Econometrics : open access journal
16
Quantitative finance
16
Computational economics
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
International journal of theoretical and applied finance
15
Cowles Foundation discussion paper
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
European journal of operational research : EJOR
14
Journal of mathematical finance
14
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
13
Applied economics letters
13
International journal of economics and financial issues : IJEFI
13
Journal of risk
13
Journal of time series econometrics
13
Insurance / Mathematics & economics
11
Mathematics of operations research
11
NBER Working Paper
11
Operations research
11
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ECONIS (ZBW)
195
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1
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195
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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
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
5
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
6
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
8
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
9
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:
10
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
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