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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of financial econometrics"
~subject:"Forecasting model"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Forecasting model
Estimation theory
165
Schätztheorie
165
Statistical distribution
51
Statistische Verteilung
51
Estimation
37
Schätzung
34
Risikomaß
31
Risk measure
31
Regression analysis
24
Regressionsanalyse
24
Time series analysis
22
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22
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20
Multivariate Verteilung
19
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Risk
18
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17
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Risiko
17
Nichtparametrisches Verfahren
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Nonparametric statistics
16
Measurement
15
Messung
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Statistical test
14
Statistischer Test
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Volatilität
14
Ausreißer
13
Outliers
13
Stochastic process
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Maximum likelihood estimation
12
Maximum-Likelihood-Schätzung
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Risikoprämie
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Risk premium
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ARCH model
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Article in journal
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English
41
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Sancetta, Alessio
3
Taylor, Greg
3
Zhang, Zhimin
3
Avanzi, Benjamin
2
Boratyńska, Agata
2
Guillou, Armelle
2
Wong, Bernard
2
Ahmadi, Seyed Saeed
1
Bermúdez, Lluís
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chavez-Demoulin, Valérie
1
Chen, Feng
1
Cipollini, Fabrizio
1
Dunsmuir, William T.M.
1
Ekheden, Erland
1
Esmaeili, Habib
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Guillén, Montserrat
1
Gungor, Sermin
1
Guo, Junjie
1
Haberman, S.
1
Haberman, Steven
1
Hartman, Brian
1
Hatzpoulos, P.
1
Hong, Seok Young
1
Hung, Mao-Wei
1
Hurn, Stan
1
Hössjer, Ola
1
Inoue, Atsushi
1
Jiang, Binyan
1
Kim, Minjoo
1
Kleinow, Torsten
1
Klüppelberg, Claudia
1
Ko, Yi-Chen
1
Lally, Nathan
1
Li, Johnny Siu-Hang
1
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Insurance / Mathematics & economics
Journal of financial econometrics
Journal of econometrics
202
International journal of forecasting
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
Journal of forecasting
74
Economics letters
53
Econometric reviews
38
Econometric theory
33
Economic modelling
33
Journal of empirical finance
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
The econometrics journal
25
European journal of operational research : EJOR
22
Quantitative finance
21
Finance research letters
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Journal of the American Statistical Association : JASA
19
Computational economics
18
Journal of banking & finance
18
Journal of risk and financial management : JRFM
17
Econometrics : open access journal
16
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
International journal of theoretical and applied finance
15
Risks : open access journal
14
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
13
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
Journal of mathematical finance
13
Applied economics letters
12
Journal of applied econometrics
12
Finance and stochastics
11
International Journal of Energy Economics and Policy : IJEEP
11
Journal of quantitative economics
11
Mathematics of operations research
11
International journal of economics and financial issues : IJEFI
10
Journal of time series econometrics
10
Operations research
10
Astin bulletin : the journal of the International Actuarial Association
9
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ECONIS (ZBW)
41
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
4
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
5
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
6
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
7
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
8
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
9
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
Saved in:
10
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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