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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric theory"
~isPartOf:"International journal of forecasting"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~isPartOf:"Working paper"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
1,250
Schätztheorie
1,250
Theorie
493
Theory
493
Time series analysis
270
Zeitreihenanalyse
270
Nichtparametrisches Verfahren
150
Nonparametric statistics
150
Regression analysis
142
Regressionsanalyse
140
Forecasting model
135
Prognoseverfahren
135
Estimation
88
Schätzung
88
Statistical test
63
Statistischer Test
63
ARCH model
58
ARCH-Modell
58
Statistical distribution
50
Statistische Verteilung
50
Autocorrelation
38
Autokorrelation
38
Panel
38
Panel study
38
Volatilität
38
Statistical theory
35
Statistische Methodenlehre
35
Cointegration
33
Induktive Statistik
33
Kointegration
33
Statistical inference
33
Bayes-Statistik
31
Bayesian inference
31
VAR model
29
VAR-Modell
29
Stochastic process
28
Correlation
27
Korrelation
27
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Undetermined
28
Free
5
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Article
41
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19
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41
Aufsatz in Zeitschrift
41
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19
Working Paper
19
Graue Literatur
18
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4
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English
60
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Gouriéroux, Christian
3
Jasiak, Joann
3
Li, Jia
3
Yu, Jun
3
Clements, Adam
2
Gefang, Deborah
2
Ghysels, Eric
2
Kanaya, Shin
2
Koop, Gary
2
Phillips, Peter C. B.
2
Poon, Aubrey
2
Renault, Eric
2
Shi, Shuping
2
Alfelt, Gustav
1
Arteche, Josu
1
Bagnato, Luca
1
Bandi, Federico M.
1
Barajas-Solano, David A.
1
Bauwens, Luc
1
Becker, Ralf
1
Bertholon, Henri
1
Bodnar, Taras
1
Bruhin, Adrian
1
Buccheri, Giuseppe
1
Cavaliere, Giuseppe
1
Chen, Han
1
Chen, Xiaohong
1
Christopeit, Norbert
1
Cipollini, Fabrizio
1
Corsi, Fulvio
1
Craig, Ben R.
1
Dauxois, Jean-Yves
1
Demetrescu, Matei
1
Dimitrakopoulos, Stefanos
1
Doolan, M. B.
1
Drovandi, Christopher
1
Duffy, James A.
1
Espasa Terrades, Antoni
1
Fei, Yijie
1
Fermanian, Jean-David
1
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Econometric theory
International journal of forecasting
Série des documents de travail / Centre de Recherche en Économie et Statistique
Working paper
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
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
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
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
Journal of forecasting
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
Discussion papers of interdisciplinary research project 373
11
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
Insurance / Mathematics & economics
9
NBER 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)
60
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
Saved in:
3
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
4
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
5
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
-
2021
Persistent link: https://www.econbiz.de/10012603081
Saved in:
6
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
7
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
8
Physics-informed Gaussian process regression for states estimation and forecasting in power grids
Tartakovsky, Alexandre M.
;
Ma, Tong
;
Barajas-Solano, …
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 967-980
Persistent link: https://www.econbiz.de/10014465184
Saved in:
9
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
10
Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
-
2019
Persistent link: https://www.econbiz.de/10012115020
Saved in:
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